This is a fork from here which is basically for the older version of mosek. I haven't tested it for all operating systems and modifications might be needed for your project.
Requires a free academic license or paid commercial license, as appropriate.
Install the license file to $HOME/mosek/mosek.lic.
Versions other than 7.1.0 are unsupported by this wrapper.
$ mkdir build && cd build
$ cmake ..
$ make install
include(ExternalProject)
ExternalProject_Add(mosek
SOURCE_DIR "${CMAKE_CURRENT_BINARY_DIR}/mosek-src"
GIT_REPOSITORY https://github.com/AliGriv/mosek.git
GIT_TAG 2d63b36c3d0c55a90d91f9a550ea0c14323c1bd9
CMAKE_ARGS
-DBUILD_TESTING=OFF
-DCMAKE_BUILD_TYPE=${CMAKE_BUILD_TYPE}
"-DCMAKE_C_COMPILER_LAUNCHER=${CMAKE_C_COMPILER_LAUNCHER}"
"-DCMAKE_C_COMPILER=${CMAKE_C_COMPILER}"
"-DCMAKE_C_FLAGS=${CMAKE_C_FLAGS}"
"-DCMAKE_INSTALL_PREFIX=${CMAKE_INSTALL_PREFIX}"
BINARY_DIR "${CMAKE_CURRENT_BINARY_DIR}/mosek-build")