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SF
Hybrid VP, Quantitative Researcher
Posted 2 weeks ago
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
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