About the role

  • VP, Quantitative Researcher in Fidelity's Mosaic team focusing on portfolio optimization algorithms and mathematical techniques. Collaborating in research and implementation for diverse portfolios.

Responsibilities

  • As an integral part of the Quantitative Research and Investing (QRI) group, the Mosaic team is responsible for the portfolio optimization system used for both quant research and managing portfolios at scale.
  • Provide expertise on mathematical techniques used in portfolio optimization, focusing on improving the speed and stability of optimizations for both taxable and non-taxable portfolios.
  • Research mathematical principles that address current inefficiencies and facilitate enhancements with the output of your research.
  • Your role will be focused on research, but you will partner with team members to direct the implementation of your findings in the Mosaic system.

Requirements

  • A Master’s degree or higher in mathematics or related fields, with emphasis in linear programming or optimization.
  • 5+ years in portfolio optimization-focused roles, researching the algorithms and mathematics that support optimization, with direct experience using general purpose solvers (Gurobi, CPLEX) or proprietary solvers (e.g. conic).
  • Demonstrable track record delivering heuristics and reformulations to achieve stability and reach optimality for complex portfolio optimization problems, including taxable portfolios.
  • Substantial exposure to mathematical techniques specific to portfolio optimization which take advantage of the structure of portfolios, risk, and tax to find optimal solutions efficiently.
  • Experience working with asset management clients to deliver solutions to specific portfolio optimization challenges.
  • Demonstrated ability to take a research question from inception to a positive outcome independently, with appropriate scientific rigor.
  • Sufficient fluency in technologies and tools to work independently.
  • Collaborative mindset and ability to work with partners with different skill sets and expertise to deliver complex, reliable, scalable solutions to portfolio optimization problems.
  • Improve numerical stability and efficiency of portfolio optimization algorithms that work at scale, across large numbers of diverse portfolios.
  • Design and validate heuristics and problem reformulations to solve complex optimization problems which otherwise don’t solve to optimality.
  • Independently deliver sophisticated mathematical solutions and provide guidance to the team responsible for implementing them.
  • Research novel algorithms to support new and expanded capabilities and specific needs of clients.
  • Partner with team members to evolve your algorithms when faced with new client portfolios that don’t solve or where solutions are unstable.

Benefits

  • comprehensive health care coverage and emotional well-being support
  • market-leading retirement
  • generous paid time off and parental leave
  • charitable giving employee match program
  • educational assistance including student loan repayment, tuition reimbursement, and learning resources to develop your career

Job title

VP, Quantitative Researcher

Job type

Experience level

Lead

Salary

$140,000 - $285,000 per year

Degree requirement

Postgraduate Degree

Location requirements

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