Design and implement multi-period portfolio optimization frameworks incorporating transaction costs, slippage, and other market frictions
Job Summary
Design and implement multi-period portfolio optimization frameworks incorporating transaction costs, slippage, and other market frictions.
Leverage MOSEK and other optimization solvers to build scalable and efficient models.
The base pay for this position is anticipated to be between $150,000 and $300,000 per year.
Matching Summary
Design and implement multi-period portfolio optimization frameworks incorporating transaction costs, slippage, and other market frictions.
Salary
Base: $150,000 - $300,000 per year; Bonus/Equity: Bonus potential; Benefits: Health and dental plans, 401(k) contributions, discretionary profit sharing program
Skills & Requirements
Must-have
multi-period portfolio optimization
transaction costs and slippage
MOSEK optimization solvers
intraday trading strategies
Python and/or C++ programming
Nice-to-have
real-time data processing
production trading systems integration
Key Requirements
PhD or Master’s in Applied Math, Operations Research, Computer Science, or related field
Proven experience with MOSEK or other optimization frameworks
Deep understanding of slippage, transaction cost modeling, and intraday trading
Familiarity with real-time data processing and execution systems
Programming skills in Python and/or C++
Experience integrating optimization routines in production trading systems