Philipp Schiele

@ProbStub Very cool feature request! You mention scaling across many portfolios and assets, which to me are two quite different problems. The former can anyways be easily parallelized in most...

In my experience, the optimization usually would become a bottleneck first. With that said, it's cool that the koalas project will directly be included into PySpark, thanks for sharing that!

This would definitely require some work to get it right using the "exact" formulation of the efficient semivariance. For now, looping over the returns or maximizing the Sharpe ratio using...

@amos-peter Can you specify what you mean by "right" min/max value for the number of assets?

@amos-peter Happy to take a look if you can provide a full [MWE](https://stackoverflow.com/help/minimal-reproducible-example)

@mgrytsai I don't think there is a straightforward way to include it into the existing implementation. Do you absolutely need the greedy approach? For small portfolios, it should be easy...

@spcqql which command did you use to install (i.e., build) CVXPY? It looks like the compiled component of the code is missing. I think it would be easiest to grab...

@spcqql I just tried the following (on Linux), and it worked: ``` pip install scipy numpy scs osqp ecos wget https://files.pythonhosted.org/packages/ae/f9/78f8093ea1a222715b3a28b65f5a5e7cc3b988231d8625d130d1e7ac9066/cvxpy-1.2.1-cp38-cp38-manylinux_2_24_x86_64.whl >>>> disconnect internet

@akshayka I did a quick profile of the script, see below.  Here is the result file: [lp.zip](https://github.com/cvxpy/cvxpy/files/7446609/lp.zip) It can be viewed interactively using: ``` pip install snakeviz snakeviz lp.prof...

@SteveDiamond I've looked through the PRs since the last release that were classified as bug fixes, but not yet included in the two cherry-pick PRs: #1854 #1859 (only relevant for...