Regression techniques for Portfolio Optimisation using MOSEK

Thomas Schmelzer, Raphael Hauser, Erling Andersen and Joachim Dahl

Papers from arXiv.org

Abstract: Regression is widely used by practioners across many disciplines. We reformulate the underlying optimisation problem as a second-order conic program providing the flexibility often needed in applications. Using examples from portfolio management and quantitative trading we solve regression problems with and without constraints. Several Python code fragments are given. The code and data are available online at http://www.github.com/tschm/MosekRegression.

Date: 2013-10
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