A large number of the MOSEK users employs for financial applications.
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Gerard Cornuejols and Reha Tutuncu,
Optimization methods in finance,
Cambridge University Press, New York, 2007
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M. S. Lobo, M. Fazel, and S. Boyd,
Portfolio optimization with linear and fixed transaction costs,
2005. To appear in Annals of Operations Research. http://www.cds.caltech.edu/~maryam/portfolio.html.
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Bernd Scherer,
Portfolio construction and risk budgeting,
Risk Books, 2004