Table 5 Portfolio stability under a Monte Carlo shock test (1000 runs)
From: Quantum stochastic walks for portfolio optimization: theory and implementation on financial networks
Strategy/preset | α | β | λ | Mean % Wt change | Std. Dev. % Wt change |
|---|---|---|---|---|---|
QSW presets | |||||
Ultra-diversified | 1.0 | 100.0 | 10.0 | 0.07% | 0.08% |
Moderate-balanced | 10.0 | 10.0 | 10.0 | 0.80% | 0.69% |
Stability-focused | 1.0 | 10.0 | 100.0 | 1.40% | 2.22% |
Balanced-active | 10.0 | 1.0 | 100.0 | 1.90% | 2.45% |
Sharpe-maximizer | 100.0 | 1.0 | 10.0 | 3.61% | 3.76% |
High-activity | 100.0 | 10.0 | 1.0 | 3.61% | 3.76% |
MPT (max-Sharpe) | – | – | – | 1.72% | 7.82% |
