Top Investment Manager specializing in global multi-asset fixed income strategies is seeking a Quantitative Analyst (Ph.D.) with experience dealing with large-scale mixed-integer problems. A Ph.D. in Operations Research or Industrial Engineering or equivalent exposure is strongly preferred. The firm will look at PhDs from other industries outside of finance with strong mixed-integer programming and optimization modeling experience.
- 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.
- 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 email@example.com