Philipp Schiele

Welcome to my website! I am a quantitative developer at Citadel, where I work at the intersection of finance, optimization, and technology. Before joining Citadel, I was a post doc at Prof. Stephen Boyd’s lab at Stanford University, where I worked on software for convex optimization, with a focus on financial applications. Before coming to Stanford, I was a PhD student at the Chair of Statistics and Econometrics at LMU Munich, supervised by Prof. Stefan Mittnik. My research focuses on portfolio optimization and financial econometrics more broadly, including time series analysis, machine learning, and risk modeling. Closely related, I am a passionate contributor and maintainer of CVXPY, an open-source Python package for convex optimization. Previously, I led the quant team at Scalable Capital, where I worked on the portfolio optimization engine, as well as other machine learning and engineering topics. As you might have guessed by now, I am enthusiastic about finance, optimization, and technology.

news

Jul 8, 2024	I joined Citadel as a Quantitative Developer.
May 21, 2024	Successfully defended my PhD thesis! 🎉
Mar 1, 2024	I am back at Stanford, (re)joining Stephen Boyd’s group as a research scholar / post doc. Super excited to be back at this incredible place, where everthing seems possible!
Oct 9, 2023	We released CVXPY 1.4, containing many new atoms, performance enhancements, and improved solver support.
Aug 1, 2023	Now leading the quant team at Scalable Capital, continuing on our mission to empower everyone to become an investor.

selected publications

Markowitz Portfolio Construction at Seventy

Stephen Boyd, Kasper Johansson, Ronald Kahn, and 2 more authors

Journal of Portfolio Management 2024

arXiv Bib Code

@article{boyd2024markowitz,
  author = {Boyd, Stephen and Johansson, Kasper and Kahn, Ronald and Schiele, Philipp and Schmelzer, Thomas},
  title = {Markowitz Portfolio Construction at Seventy},
  journal = {Journal of Portfolio Management},
  year = {2024},
  doi = {10.48550/arXiv.2401.05080},
}

Disciplined Saddle Programming

Philipp Schiele, Eric Luxenberg, and Stephen Boyd

Transactions on Machine Learning Research 2024

Bib PDF Code

@article{schiele2024dsp,
  author = {Schiele, Philipp and Luxenberg, Eric and Boyd, Stephen},
  title = {Disciplined Saddle Programming},
  journal = {Transactions on Machine Learning Research},
  year = {2024},
  pages = {1--25},
}