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
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