Mosek package includes interfaces for C/C++, Java, Python, MATLAB, .NET and R. It comes has a set of precompiled libraries and executables with no additional dependencies. To start using MOSEK you just need few steps:
- Download MOSEK.
- Install the software following the installation guide.
- Obtain a fully featured trial license.
- Install the license following the instructions received or check the licensing guide.
- Read the documentation for your interface.
- Start Optimizing!
MOSEK is employed extensively in the financial industry to solve optimization problems arsing in connection with Markowitz portfolio optimization and related problems. MOSEK is well known in the financial industry for its state-of-the-art optimizers for quadratic and conic problems. Portfolio optimization models are most conviniently implemented using the Fusion API. Fusion is an object orientated API available Java, .NET, MATLAB and Python. Please see the extensive portfolio optimization examples in Fusion below for details.
An alternative to Fusion API is the Optimizer API. The Optimizer API is an extremely efficient matrix oriented API. However, typically building a model using the Optimizer API rather the Fusion API is a more time-consuming and error-prone process. See the following Optimizer API examples for details.
MOSEK is typically more cost effective than canned software packages aimed at portfolio optimization and provides more flexibility. Several publications related to using MOSEK for financial applications are available:
- Markowitz portfolio optimization using MOSEK
- Regression techniques for Portfolio Optimisation using MOSEK. Illustrates the usage of MOSEK for real-world portfolio optimization problems
- A note on formulating quadratic functions. In some cases, simple tricks can lead to a reduction in solution time by a factor of 10 or more.
MOSEK is popular choice in forestry due to its powerful and reasonable priced linear optimizer. Particularly, many customers of Remsoft Woodstock software have chosen MOSEK as their standard optimization solution. If you want to use MOSEK together with Woodstock, we suggest you obtain MOSEK through Remsoft. Otherwise follow the normal trial procedure.