随机控制准则在选择股票投资品种中的应用

Stochastic Domination Principle for Stock Investment

在对单一品种股票投资方案进行比较时，本文根据冯·诺依曼与摩根斯坦的现代效用理论，把对股票收益的研究转向对股票收益效用的研究，并导出一级随机控制准则（ＦＳＤ）和二级随机控制准则（ＳＳＤ）。运用ＳＳＤ对上海证券交易所几只３０指数股票进行了实证研究。

While appraising single stock investment, based on Von Neumann-Morganstern's ModernUtility Theory, the researches of stock return are transferred to the researches of utility of stock return.Furthermore, the First Stochastic Dominant (FSD) and the Second Stochastic Dominant (SSD) areprovided. According to SSD, some empirical studies on Shanghai Security Exchange are done.