We are looking for an intern to work on extending our range of portfolio optimization tools. This internship
is meant to last a minimum of 6 months and could lead to a position of Junior Quantitative Analyst.
The successful candidate will develop a robust portfolio optimizer and integrate it in the Riskdata Quantitative
Library. To achieve this goal, he or she will need to:
- Understand the aim of portfolio optimization from the point of view of an asset manager and realize
the fragility of approaches relying on returns and variances estimators,
- Reformulate the mean-variance optimization problem or variations thereof so that its solutions are
robust to the uncertainties of the input parameters,
- Implement and test a numerical algorithm solving the optimization problem within the RQL.
