Philipp Schiele

Stanford. LMU Munich. CVXPY.



Room 212

350 Jane Stanford Way

Stanford, CA 94305

Welcome to my website! I am a research scholar at Prof. Stephen Boyd’s lab at Stanford University, where I work 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.


Mar 1, 2024 I am back at Stanford, (re)joining Stephen Boyd’s group as a research scholar. 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.
Jun 27, 2023 We released CVXPY 1.3.2, containing a number of bug fixes and improvements.
Mar 19, 2023 We released CVXPY 1.3.1. Among other things, you can now install CVXPY on Linux ARM based systems.

selected publications

  1. Markowitz Portfolio Construction at Seventy
    Stephen Boyd, Kasper Johansson, Ronald Kahn, and 2 more authors
    Accepted to the Journal of Portfolio Management 2024
  2. Disciplined Saddle Programming
    Philipp Schiele, Eric Luxenberg, and Stephen Boyd
    Transactions on Machine Learning Research 2024