MOSEK Portfolio Optimization Cookbook

The MOSEK Portfolio Optimization Cookbook book provides an introduction to the topic of portfolio optimization and discusses several branches of practical interest from this broad subject. You can read it here:

• HTML
• PDF (A4), PDF (letter)

It is illustrated with complete code examples using MOSEK which can be found in this repository as Marimo notebooks.

Python notebooks

These notebooks are compatible with MOSEK at least 11.0. See other branches for code compatible with older MOSEK versions.

Notebook | Type | Keywords | Links --- | --- | --- | --- Mean-variance optimization | CQO | Markowitz, efficient frontier, conic model, risk, return | source, Cookbook Preparing input data | data transformation | distribution estimation, projection to investment horizon | source, Cookbook Long-short dollar neutral optimization | CQO | long-short, dollar neutral, gross exposure | source, Cookbook Long-short dollar neutral optimization (fixed gross exposure) | CQO, mixed-int | long-short, dollar neutral, gross exposure | source, Cookbook Shrinkage | CQO | shrinkage, Ledoit--Wolf, James--Stein | source, Cookbook Single factor model | CQO | factor model | source, Cookbook Large scale factor model | CQO | factor model | source, Cookbook Market impact costs | CQO, POW | market impact, power law | source, Cookbook Transaction costs | CQO, mixed-int | leverage, buy-in threshold, fixed costs | source, Cookbook Benchmark relative optimization | CQO | active return, tracking error | source, Cookbook Fund of funds optimization | CQO | multiple funds and benchmarks, tracking error | source, Cookbook CVaR optimization | LO | CVaR, Monte Carlo scenarios | source, Cookbook EVaR optimization | EXP | EVaR, Monte Carlo scenarios | source, Cookbook Expected utility maximization | CQO, EXP | Expected utility, Gaussian mixture return | source, Cookbook Risk parity model | CQO, EXP | risk budgeting, risk contribution | source, Cookbook Risk parity model (long-short) | CQO, EXP, mixed-int | risk budgeting, risk contribution, long-short | source, Cookbook Robust mean-variance model | CQO | robust optimization, uncertainty set | source, Cookbook Robust MVO with factor model | CQO | robust optimization, uncertainty set, factor model | source, Cookbook, Article Multiperiod mean-variance model | CQO, POW | multiperiod, transaction cost, market impact | source, Cookbook, Article Regression and regularization | CQO, POW | regression, OLS, ridge, LASSO, transaction cost, market impact | source, Cookbook