Director of Research & Development at Hochiki overseeing product and technology development. Leading new product development and implementation across international locations.
SF
Hybrid Director, Portfolio Optimization
Posted 3 weeks ago
About the role
- Director of Portfolio Optimization leading the Mosaic team in quantitative research and portfolio management for Fidelity Investments. Improving portfolio optimization algorithms and collaborating closely with vendors and technology teams.
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.
- Apply your domain expertise to improve mathematical and algorithmic implementation of portfolio optimization structures
- Improve sophisticated mathematical approaches and design feature implementations utilizing domain expertise in optimization.
- Address numerical instability common in portfolio optimization with insights in heuristics, transformations, or scaling opportunities.
- Work closely with third party vendors to ensure optimal implementation of their tools
- Partner with technology team members to support the development process, transfer domain knowledge, and ensure implementations are faithful to mathematical design.
- Help other team members resolve service requests from clients, identifying which challenges require code changes and guiding clients to solutions.
Requirements
- A Master’s degree or higher in mathematics or related fields, with emphasis in linear programming or optimization.
- 5+ years’ experience building or enhancing the efficiency of portfolio optimizers, contributing through both software development and mathematics research.
- Success implementing heuristics and improving numerical stability in portfolio optimization structures, with direct experience using general purpose solvers such as Gurobi and CPLEX, or proprietary solvers.
- Demonstrable track record delivering mathematical and software solutions to common portfolio optimization challenges, including tax management and multi-period optimization.
- Expert-level development skills in Python.
- A leader who is focused on promoting a team culture of accountability and continuous improvement and removing drag forces to enable team success.
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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