讲座简介：

The mean-variance capital asset pricing model (CAPM) is a useful mathematical tool for studying a variety of financial problems. In contrast to existing work in the literature, which has primarily focused on deriving analytical solutions under restrictive assumptions, we propose a numerical algorithm for efficiently computing the set of equilibrium prices of a CAPM model with heterogeneous investors and arbitrary margin requirements. We present the mathematical formulation of the CAPM model, derive structural properties of the portfolio selection and excess demand functions, and establish the asymptotic convergence of the proposed algorithm under mild conditions. Numerical studies are also carried out to compare the algorithm with a popular fixed point method and illustrate its performance on relatively large problem instances with up to 100 investors and tradable assets.

主讲人简介：

胡建强，博士，教授，博士生导师。1985年本科毕业于复旦大学数学系，1990年获美国哈佛大学(Harvard University)应用数学博士。1996年任美国波士顿大学(BostonUniversity)终身教授。2008年加盟复旦大学管理学院管理科学系任教授、博士导师。担任过数家国内外著名企业的顾问。他的主要科研方向是运筹学中各种随机系统的分析、优化和控制，研究内容包括仿真模拟、排队论、供应链和物流管理、电讯通信系统、金融市场及衍生产品等，共发表了80多篇专业论文和一部专著（《ConditionalMonte Carlo: Gradient Estimation and Optimization Applications》，KluwerAcademic Publishers 1997，获1998 Outstanding Simulation Publication Award,INFORMS College on Simulation）。   

他现任《Automatica》副主编，《运筹学学报》编辑，《Journal of the OperationsResearch Society of China》编辑，中国运筹学会金融工程及金融风险管理分会会长，中国运筹学会理事。曾任《Operations Research》和《IIE Transactions onDesign and Manufacturing》编委。