Mixed-Integer Optimization Modeler (PhD) - Fixed Income Portfolio

1 day left

Employer
Analytic Recruiting Inc.
Location
Boston, USA
Salary
Competitive
Posted
29 Apr 2022
Closes
29 May 2022
Ref
14693023
Job Function
Other
Industry Sector
Finance - General
Employment Type
Full Time
Education
Bachelors
Responsibilities:
  • The role will support the firm's fixed income Index Funds.
  • Work will include Fixed Income Portfolio Analysis, Portfolio Construction, and Portfolio Optimization strategies developing dynamic sector allocation models, systematic sector rotation models, and model-driven trading strategies in multiple fixed income markets using LP/IP/MIP programming.
  • Responsibilities will encompass portfolio construction, optimization, tactical asset allocation, strategy development & testing, and risk modeling for fixed income investment strategies.


Requirements:
  • Applicants should have a top school advanced degree (Ph.D. strongly preferred) with a strong background in management science, industrial engineering, or operations research.
  • 1+ years of experience in quantitative research [optimization, multi-factor, and alpha modeling] and strong computer skills (Python, R, SQL) are a must.
  • The role requires experience with mixed integer and linear programming (LP/IP.MIP) using optimization solver libraries such as Gurobi or CPLEX.
  • The firm will look at strong candidates with work experience outside of the capital markets.

This position provides opportunities to do cutting-edge modeling and advance to a portfolio management role. The company offers a very attractive compensation and benefits package.

Keywords: Index Funds, Optimization Solvers,LP, IP, MIP, Sector Rotation, High Yield, TIPS, Loans, Convertible Bonds, GTAA, R, Gurobi, CPLEX, Linear Programming, Mixed Integer Programming, Multi-Asset, Mutual Funds, Fixed Income, Real Return, portfolio construction, asset allocation, SQL, Fund performance, multi-factor models, macro-economics.

Please send resume to Jim Geiger jeg@analyticrecruiting.com

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