The whitepaper gives an introduction to portfolio optimization using the MOSEK conic optimizer from MATLAB, R and Python and includes topics such as:
- Conic formulations of standard Markowitz portfolio problems.
- Minimum risk/maximum return formulations.
- Computing the efficient frontier.
- Computing the maximum Sharpe ratio.
- Exploiting low-rank structure in the covariance matrix to reduce solution time, including factor models.
- Transaction costs with market impact, modeled as a conic quadratic problem.
- Transactions costs with a fixed term, modeled as a conic mixed-integer problem.
The Markowitz portfolio optimization whitepaper and data can be downloaded from the MOSEK publications page.