Friday, February 11, 2011

MOSEK version is available for download.

MOSEK version is available for download. The major changes are:
  • Fixed several bugs in the mixed integer optimizer.
  • Fixed a bug in the graph partioning based ordering that in rare cases could cause a crash.
  • Improved the manual.
  • Fixed an issue in the presolve ocurring very rarely. 
  • Fixed a bug causing an assert on very large problems.
  • FLEXlm has been upgraded to version 11.9.1 because some bugs in FLEXlm has been fixed. 
  • Fixed several issues appearing when the input data that had NANs.
  • Fixed a bug in the conic optimizer causing an assert for certain problems. 
  • Fixed a bug in MSK_analyzeproblem that could cause a segmentation fault on problems containing cones.

Wednesday, February 9, 2011

Portfolio optimization whitepaper

We revised our whitepaper on portfolio optimization using MATLAB.

The whitepaper gives an introduction to portfolio optimization using the MOSEK conic optimizer from MATLAB, 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 cost with a fixed term, modeled as a conic mixed-integer problem. 
Furthermore, the revised version uses a dataset with historical data for the S&P500 index in all the examples.

The whitepaper can be downloaded from the MOSEK publications page.