The Centre for Mathematical Sciences would like to invite applications for a Postdoc position starting in March 2019 on the topic of “long term portfolio management”. The position will be based in the Division of Mathematical Statistics whose research ranges from probability theory, stochastic processes, financial mathematics, spatial statistics, extreme value theory, biostatistics to statistical signal processing. The position is funded by a research grant from the Verg Foundation. This position will be located 15 % at DTU.

Long-term investors can often bear the risk of outsized market movements or tail events more easily than the average investor; for bearing this risk, they hope toearn significant excess returns. Rebalancing periodically to a fixed benchmark allocation is probably not the way to do this. In the presence of time-varying investment opportunities, portfolio weights should be adjusted as new information arrives to take advantage of favorable regimes and reduce potential drawdowns. Implementing a strategy based on that observation requires a holistic approach, as the strategy requires a sound statistical framework as well as a coherent portfolio strategy.

Job assignments

The aim of this position is to develop, test, and apply algorithms to financial data. The scope of the project is holistic, as the candidate will develop forecasting models that are coherent across various times scales, as well as developing methods for reconciling different models. These models will be used as input in the portfolio management setup, where techniques from machine learning and convex optimization will be used.

The position aslo include the opportunity to teach and contribute to the scintific discussion and development at the depatrtment. The position also includes opportunity for three weeks of training in higher education teaching and Learning.

Qualifications

Appointment to a post-doctoral position requires that the applicant has a PhD, or an international degree deemed equivalent to a PhD, within the subject of the position, completed no more than three years before the last date for applications. Special circumstances might in extraordinary cases be applicable. The working languages are English and Swedish. Excellent skills in both spoken and written English is a requirement for the position.

Eligibility

This is a qualifying appointment focused primarily on research. The position is intended as an initial step in the academic career and the assessment of the applicants will primarily be based on their scientific merits and potential as researchers. The basis of assessment is the ability to develop and implement research of good quality and teaching ability. Particular emphasis will be given to academic skills within the subject area. We are looking for a person who is flexible and open, willing to cooperate and contribute to the overall working climate. Other basis of assessment are driving force and independence as well as ability to make new connections, communicate and cooperate with colleagues within and outside academia. Interest in learning Swedish during the employment in Lund is desirable.

Terms of employment

This position will be located 15 % at DTU. This is a full-time, fixed-term employment of a maximum of 2 years. The period of employment is determined in accordance with the agreement “Avtal om tidsbegränsad anställning som postdoktor” (“Agreement on fixed-term employment as a post-doctoral fellow”) between Lund University, SACO-S, OFR/S and SEKO, dated 4 September 2008.

Instructions on how to apply

Applications shall be written in English. Please draw up the application in accordance with LTH’s Academic qualifications portfolio – see link below. Upload the application as PDF-files in the recruitment system. Read more:

http://www.lth.se/index.php?id=71223