braverock / braverock/PortfolioAnalytics

[FR] Allow user to set parallelization level for `optimize.portfolio.rebalancing`

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enhancement
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Description

For `optimize.portfolio.rebalancing` it would be nice to have an argument that would allow the user to set the parallelization level. For instance, `CVXR::psolve` has a [`parallel`] argument. Would it be possible to switch to `psolve` over `solve` calls? Because adding a parallelization argument and using `psolve` would then users with large problems to decide where it would be best to have parallelization for their problem. Another example would be generating random portfolios.

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