Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Quantum Annealing Algorithm for Expected Shortfall based Dynamic Asset
  Allocation   The 2008 mortgage crisis is an example of an extreme event. Extreme value
theory tries to estimate such tail risks. Modern finance practitioners prefer
Expected Shortfall based risk metrics (which capture tail risk) over
traditional approaches like volatility or even Value-at-Risk. This paper
provides a quantum annealing algorithm in QUBO form for a dynamic asset
allocation problem using expected shortfall constraint. It was motivated by the
need to refine the current quantum algorithms for Markowitz type problems which
are academically interesting but not useful for practitioners. The algorithm is
dynamic and the risk target emerges naturally from the market volatility.
Moreover, it avoids complicated statistics like generalized pareto
distribution. It translates the problem into qubit form suitable for
implementation by a quantum annealer like D-Wave. Such QUBO algorithms are
expected to be solved faster using quantum annealing systems than any classical
algorithm using classical computer (but yet to be demonstrated at scale).

2
The categories of this paper are: math
26
The categories of this paper are: bayes-an
15
The categories of this paper are: nucl-ex
22
The categories of this paper are: chao-dyn
8
The categories of this paper are: hep-ex
0
The categories of this paper are: hep-ph
37
The categories of this paper are: supr-con
27
The categories of this paper are: comp-gas
7
The categories of this paper are: hep-th
25
The categories of this paper are: patt-sol
23
The categories of this paper are: solv-int
19
The categories of this paper are: eess
21
The categories of this paper are: adap-org
10
The categories of this paper are: q-bio
11
The categories of this paper are: hep-lat
32
The categories of this paper are: atom-ph