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Financioneroncios/Kurtosis_Portfolio.ipynb

Created September 27, 2022 04:34
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@BradKML
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BradKML commented Mar 16, 2023

For someone not in the know, is n >= 30 referring to number of asset types?
Also since MOSEK is not FOSS what other alternative are there that is fast and for Python?

@Financioneroncios
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Hi @BrandonKMLee, there isn't a FOSS alternative to MOSEK now, because this model is very complicated.

@BradKML
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BradKML commented Mar 17, 2023

  1. What FOSS software would you recommend to replace MOSEK? Surely Riskfolio-Lib has to have some speed-up feature?
  2. How can Kurtosis and Skewness Optimization be done without using as much resources?

@Financioneroncios
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  1. You can't replace MOSEK with a FOSS software for semidefinite programming, it's like try to replace a Ferrari with a bicicle in a speed race.
  2. Read the associated paper. The parametric version of kurtosis uses a lot of resources and Skewness can't be optimized 😅

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