Problem Does Not Follow Dcp Rules In Cvxpy

'Problem does not follow DCP rules' happens at the objective function but mathematically this is convex (I proved) and when I applied the same problem to CVXOPT, it worked. I don't

Solution 1:

Disciplined convex programming does not allow multiplying two convex expressions. You have

(-mu_hat @ x)**2

and

cp.quad_form(x, covar)

which are both convex. Maybe you meant to add them? How did you formulate the problem for cvxopt?