Let E ⊂ R n be a compact set, and f : E → R. How can we tell if there exists a convex extensionAssuming such an extension exists, how small can one take the Lipschitz constant Lip(∇F ) := sup x,y∈R n ,x =yWe provide an answer to these questions for the class of strongly convex functions by proving that there exist constants k # ∈ N and C > 0 depending only on the dimension n, such that if for every subset S ⊂ E, #S ≤ k # , there exists an η-strongly convex functionand Lip(∇F ) ≤ CM 2 /η. Further, we prove a Finiteness Principle for the space of convex functions in C 1,1 (R) and that the sharp finiteness constant for this space is k # = 5.