Large-scale portfolio optimization with variational neural annealing
Large-scale portfolio optimization with variational neural annealing
Portfolio optimization is a routine asset management operation conducted in financial institutions around the world. However, under real-world constraints such as turnover limits and transaction costs, its formulation becomes a mixed-integer nonlinear program that current mixed-integer optimizers often struggle to solve. We propose mapping this problem onto a classical Ising-like Hamiltonian and solving it with Variational Neural Annealing (VNA), via its classical formulation implemented using autoregressive neural networks. We demonstrate that VNA can identify near-optimal solutions for portfolios comprising more than 2,000 assets and yields performance comparable to that of state-of-the-art optimizers, such as Mosek, while exhibiting faster convergence on hard instances. Finally, we present a dynamical finite-size scaling analysis applied to the S&P 500, Russell 1000, and Russell 3000 indices, revealing universal behavior and polynomial annealing time scaling of the VNA algorithm on portfolio optimization problems.
Nishan Ranabhat、Behnam Javanparast、David Goerz、Estelle Inack
计算技术、计算机技术财政、金融
Nishan Ranabhat,Behnam Javanparast,David Goerz,Estelle Inack.Large-scale portfolio optimization with variational neural annealing[EB/OL].(2025-07-09)[2025-07-19].https://arxiv.org/abs/2507.07159.点此复制
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