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