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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:

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

Python notebooks

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

With a Google account you can launch the notebook directly in Google CoLab by following the CoLab link.

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