Citigroup ( C) said Michael Carpenter, the chairman and chief executive of the financial firm's alternative investments division, is stepping down to to start a new venture.

Carpenter, 58, should be with the company until May 1, Citigroup said Thursday.

Carpenter has spent more than a decade at Citigroup and Travelers. "The decision to leave Citigroup was very difficult for me," he said in a statement. "The past 11 years have been a very important part of my life. It has been professionally and personally rewarding and challenging to be part of building the world's leading financial services firm."

According to Citigroup, Carpenter's decision to leave was prompted, in part, by his desire to avoid potential conflicts of interest as he considers developing an entrepreneurial venture, which likely will deal with alternative investments.

Lew Kaden, Citigroup's chief administrative officer, will oversee alternative investments while a search for Carpenter's successor is under way. Carpenter previously served as CEO of Travelers Life & Annuity, Salomon Smith Barney and Citigroup Corporate & Investment Bank during his time at Citi.

Carpenter took over as head of alternative investments in 2002. The business now manages almost $40 billion across a variety of investment strategies in private equity, hedge funds, real estate, futures and credit structures.

Shares of Citigroup were higher by 41 cents, or 0.9%, at $47.42.