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Proving that MSE is convex

[topic closed by OP, admin leaving content here for reference and anonymized]

Hello!
As the title says, I am trying to do the proof, showing that MSE is convex. The image shows my current proof, but I have a few things that I am unsure about:

a) It feels wrong, since I proved that both sites of the inequality are always equal, which would imply that they are the same function (which is obviously not the case for MSE)

b) Is the finishing argument valid? The lecture told us, that sums of convex functions are convex again, but not that it stays convex, if multiplied by a scalar. I assume that it still is the case, given that the scalar is bigger than 0. Can someone verify that?

Screenshot from 2020-10-02 00-50-15.jpg
Screenshot from 2020-10-02 00-50-15.jpg

Thank you in advance!!

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