I've recently tried to run this sample from Qiskit (Portfolio Optimization)
I was able to change RandomDataProvider to YahooDataProvider and able to run it on real stock prices.
However, there is one peculiar challenge I'm facing - I'm not sure if it is my lack of understanding. At this particular code
budget = num_assets // 2 # set budget penalty = num_assets # set parameter to scale the budget penalty term qubitOp, offset = portfolio.get_operator(mu, sigma, q, budget, penalty)
No matter what budget or penalty I set this to, I always receive portfolio with about half of the total number of assets. For example, if my total number of assets is 5, then my budget is 2 (from above code). The result always contains 2 assets [0 0 1 1 0]
If I change my budget to
budget = num_assets // 3
and my total assets are 5, then I expect to see only 1 asset in the resulting portfolio. However, I see 2
If I increase my num_assets to 10 and make
budget = num_assets
I still get a portfolio of 5 or 6 stocks (close to half of 10) and not a portfolio of 10.
Note - I'm running on qasm_simulator
Is there a gap in my understanding? What role do these variables - budget and penalty - play while building the portfolio?
penaltyfactor and increase it. The penalty factor must be large enough to enforce the constraint. $\endgroup$