Quantitative Researcher, Portfolio Optimization

Job description

Job Description: The Role As an integral part of the Quantitative Research and Investing (QRI) group, the portfolio optimization team is responsible for research into mathematical techniques to improve the performance, net of taxes, of client portfolios and funds. As a part of the optimization team and working closely with investment and technology teams, you will design novel mathematical approaches to solve difficult portfolio optimization problems efficiently and reliably. You will work closely with research teams to understand the breadth and scope of their optimization problems, to correctly model them in a research environment. Using your experience, you will deliver heuristics and reformulations which allow solvers to quickly converge to optimal solutions for specific classes of such problems, for both taxable and non-taxable portfolios. While your role will be focused on research, you will partner with team members to direct the implementation of your findings in the portfolio optimization system. The Expertise and Skills You Bring: A Master’s degree or higher in computer science, engineering, or mathematics, with extensive coursework in optimization. 5+ years in portfolio...