本文讨论具有随机风险的公司的最优投资策略问题 .公司投资选择是存款、贷款及股票交易 .因市场的不完备性 ,公司在任一时刻均存在概率为正值的破产可能性 .本文主要结果是 :从贷款利率高于存款利率的实际出发 ,运用最优随机控制理论 ,得到使公司生存概率取最大值的最优投资策略 ,以及相应的最大生存概率 ,并对这些结果给出了严格证明 This paper discusses the optimal investment strategy for companies with stochastic risk.The company’s investment choices are deposits, loans and stock transactions.The possibility of bankruptcy with probability positive at any moment exists in the company due to the incompleteness of the market.The main results of this paper From the fact that loan interest rate is higher than deposit interest rate, we use the optimal stochastic control theory to get the optimal investment strategy that maximizes the company’s survival probability, and the corresponding maximum survival probability, and gives strict proof of these results