Building tools on the shoulders of Mosek.
We created this package to support the experiments given in the paper by Schmelzer, Hauser, Dahl and Andersen.
You need a valid Mosek license.
You can solve various (un)constrained regression and Markowitz problems.
We assume you share already the love for Poetry. Once you have installed poetry you can perform
make installto replicate the virtual environment we have defined in pyproject.toml and locked in poetry.lock.
We install JupyterLab on fly within the aforementioned virtual environment. Executing
make jupyterwill install and start the jupyter lab.