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在假设证券价格服从几何布朗运动的基础上·首先，建立了证券投资决策最优控制问题数学模型，并把经济学家提出的风险规避系数概念引入到证券投资决策问题中·然后，根据随机最优控制理论，推导出了风险规避投资者的值函数所满足的带有风险规避系数的动态规划偏微分方程，并且得到了基于随机最优控制问题值函数的证券投资最优策略·特别，当风险规避系数无限大时，得到了风险规避投资者的最优投资策略，最后，给出一个算例·
On the assumption that the price of securities subject to the geometric Brownian motion, firstly, the mathematic model of securities investment decision-making optimal control problem is established, and the concept of risk aversion coefficient proposed by economists is introduced into securities investment decision-making problem. Then, Optimal control theory, the dynamic programming partial differential equation with risk aversion coefficient which is satisfied by the value-based function of risk-averse investor is deduced and the optimal investment strategy based on stochastic optimal control problem-value function is obtained. Especially, when When the risk aversion coefficient is infinite, the optimal investment strategy for risk aversion investors is obtained. Finally, an example is given.