Friday, March 30, 2012

Wednesday, March 14, 2012

Portfolio optimization whitepaper in MATLAB, R and Python

We revised our whitepaper on portfolio optimization.

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. 
Historical data from the S&P500 index is used in all examples.

The Markowitz portfolio optimization whitepaper and data can be downloaded from the MOSEK publications page.

Monday, March 5, 2012

Server licenses are now available

Until now all licenses MOSEK has sold have been floating licenses. For most of our customers this has been a very convenient type of license but not for all. Therefore, as of the 5th March of 2012 a server license is also available. A server license corresponds to having an unlimited number of licenses available on a prespecified computer/server. Please see our price list for details or contact MOSEK sales.

Thursday, March 1, 2012

MOSEK version

MOSEK version is available for download at the MOSEK website.

The most important new feature in this release is support for conic quadratic optimization (aka. SOCP) in the AMPL interface. Hence, it is now possible to specify conic quadratic constraints directly in AMPL using a MOSEK specific suffix named cone. Please see the AMPL documentation for details.

The other major changes are:
  • Fixed a number of bugs in the mixed integer optimizer.
  • Fixed some bugs in the AMPL interface. 
  • Fixed a bug occurring under special circumstances in the interior-point optimizer when multiple threads are employed.
  • Fixed a bug in the dual simplex optimizer.

DrugMatrix now employs MOSEK

DrugMatrix, an on-line tool by the US Department of Health and Human Services, now employs MOSEK  to compute the database of scorable genomic signatures.