Director, Portfolio Optimization

Fidelity • Boston, MA

1d • $126,000 - $255,000 • Hybrid

About The Position

The Role 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. Primary Location: Boston, MA Additional Locations: Merrimack, NH; Jersey City, NJ The Expertise and Skills You Bring: 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. 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. The Team As a part of the Mosaic team and working closely with your colleagues, you will diagnose inefficiencies of portfolio optimization construction in the Mosaic system. This requires expertise in both the computer science and mathematics of portfolio optimization. You will work closely with portfolio management teams to identify efficient algorithms to solve their requirements and with technology teams to implement those algorithms effectively. You will also work closely with third-party vendors to ensure the mathematical representation of problems are correctly structured and solved.

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.

Responsibilities

• 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.

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

What This Job Offers

• Job Type: Full-time
• Career Level: Director