SOCP from https://github.com/ifa-ethz/ecos/blob/master/test/matlab/test_portfolio.m implemented in JuMP

data.mat

portfolio_jump.jl

using JuMP, Gurobi, MAT, Base.Test

# Reading problem variables from .mat file
vars = matread("data.mat")
D = vars["D"]
F = vars["F"]
c = vars["c"]
cvx_x = vars["true_x"]

m = Model(solver=GurobiSolver())

@defVar(m, x[1:5])
#@setObjective(m, :Min, c'*x + x'*D*x + sum((F'*x).^2))
@setObjective(m, Min, sum{c[i]*x[i] + D[i,i]*x[i]*x[i], i=1:5} + dot(F[:,1],x)^2 + dot(F[:,2],x)^2)
@addConstraint(m, sum(x) == 1)

status = solve(m)

jump_x = getValue(x).innerArray

@test_approx_eq jump_x cvx_x