绝对风险规避者的证券投资理论和方法

Theory and Application of Securities Investment for Absolute Risk-avoid Investor

本文在分析证券投资者效用函数的基础上 ,推导出选择证券投资品种的随机控制准则 ,特别对三阶随机控制准则的理论和应用做详细分析 ,并用此准则对上海证券交易所的普通股票作实证分析。这为证券投资者选择证券投资品种形成有效证券集合提供科学依据。

This paper analyzes the utility functions of security investor, gives the stochastic domination rules to select securities, especially gives the theory and application of third stochastic domination. At last, it does an empirical research on the stocks of Shanghai Security Exchange. This provides scientific evidence for security investor to select securities to form the efficient security set.