Quantitative Researcher, Portfolio Optimization

About the role

The portfolio optimization team within the Quantitative Research and Investing (QRI) group is responsible for developing and improving mathematical techniques to enhance the performance of client portfolios and funds. This includes designing efficient and reliable solutions for complex optimization problems, collaborating with investment and technology teams, and delivering mathematical solutions to clients.

Responsibilities

• Research and develop novel mathematical approaches to solve portfolio optimization problems, focusing on both taxable and non-taxable portfolios.
• Work closely with investment and technology teams to understand and model optimization problems, ensuring they are correctly represented in a research environment.
• Deliver heuristics and reformulations that enable solvers to quickly converge to optimal solutions for specific classes of portfolio optimization problems.
• Collaborate with the team responsible for implementing your findings, providing guidance and direction on the integration of mathematical solutions into the portfolio optimization system.
• Design and validate heuristics and problem reformulations to address complex optimization challenges for taxable portfolios, ensuring solutions are both efficient and reliable.
• Partner with clients to understand their optimization needs and translate these into mathematical solutions, ensuring alignment between client requirements and mathematical implementation.
• Research and develop new algorithms to support new and expanded capabilities, addressing specific needs of clients and evolving client portfolios.

Requirements

• A Master’s degree or higher in computer science, engineering, or mathematics, with extensive coursework in optimization.
• Extensive experience in portfolio optimization-focused roles, with a strong background in researching and applying algorithms and mathematics to optimize portfolios.
• Proven track record of delivering mathematical solutions to common portfolio optimization challenges, including Integer Programming and using linear algebra and heuristics for more efficient integer solutions.
• A deep understanding of portfolio construction for taxable mandates and efficient heuristics and approximation algorithms for this problem class.
• Sufficient fluency in technologies and tools to work independently, capable of architecting sophisticated mathematical solutions that work efficiently and reliably in critical applications.
• Ability to recognize and communicate business risks effectively to key decision-makers and collaborate with partners with different skills and expertise to deliver complex, reliable, and scalable solutions.

Qualifications

• Experience using general purpose solvers (Gurobi, CPLEX) or proprietary solvers (e.g., conic).
• Substantial exposure to mathematical techniques specific to portfolio optimization that leverage the structure of portfolios, risk, and tax to find optimal solutions efficiently.
• A consistent record of delivering optimization solutions for clients in financial services, including direct experience working with clients to synthesize their needs into mathematics and prototypes.
• A proven ability to take a research question from inception to a positive outcome, demonstrating scientific rigor and independent problem-solving skills.

Skills

• Strong analytical and problem-solving skills.
• Excellent communication and collaboration abilities.
• Proficiency in relevant programming languages and software tools used in portfolio optimization.

Benefits

Fidelity offers a comprehensive benefits package including comprehensive health care coverage, emotional well-being support, market-leading retirement plans, generous paid time off and parental leave, charitable giving employee match programs, and educational assistance including student loan repayment and tuition reimbursement.

Pay

The base salary range for this position is $100,000 - $200,000 per year, with placement varying based on job responsibilities and scope, geographic location, candidate's relevant experience, and other factors.

Schedule

Fidelity is transitioning to a full-time onsite working model through a phased rollout across regions and roles. Currently, some roles and locations require 100% onsite presence, while others require less. Onsite expectations are likely to evolve as the rollout continues. This transition does not apply to fully remote roles.