In order to carry out @Michal_Adamaszek suggestion to use the latest version of Mosek:
Download the latest stable Mosek version, currently 10.1.16, from the Mosek werbsite. You can use that instead of Mosek 9.1.9, which is bundled with CVX 2.2…
To make sure you don’t wind up using Mosek 9.1.9 which is bundled with CVX 2.2:
Download the latest Mosek from the Mosek werbsite and install it under MATLAB. Make sure mosekdiag succeeds. Then reinstall CVX so it will find the new solver.
Either delete or rename the mosek directory under CVX (before reinstalling CVX)
or
cvx_solver shows all the versions of all the solvers available to CVX. Choose the Mosek 10.x version, which might be called something like Mosek_2, then use cvx_solver Mosek_2 to get that version, and you can save_prefs.
In any event, cvx_solver will show all the versions available to CVX.