股票投资的马尔可夫决策规划模型  

Markov Decision Programming Model for Stock Investment

作　　者：韩苗[1] 薛秀谦[1] 周圣武[1] 康建林[1] 

机构地区：[1]中国矿业大学理学院,江苏徐州221008

出　　处：《中国矿业大学学报》2005年第2期261-264,共4页Journal of China University of Mining & Technology

摘　　要：应用马尔可夫决策规划理论,讨论了一种股票动态投资策略,将股票价格随机时间序列分解成趋势序列和残差序列两部分之和.在验证残差序列具有马尔可夫性的基础上,对其建立模型并进行投资决策.所给定理保证了在一定条件下该模型目标函数最优投资策略的存在,同时给出了求解最优策略的算法,并进行了二阶段算例分析.最后,通过具体实例验证了该投资决策模型的可行性.By applying the Markov decision programming theory, a dynamic investment strategy for stocks was discussed. The stochastic time series of stock price was decomposed into the sum of tendency series and residual series. And it was proved that the latter has a Markov property, as a result, a model for investment decision was established. The theorem proposed showed that the optimal investment strategy of the target function exists under certain condition. In addition, an algorithm to seek optimal strategy and an example of two stages were given. The feasibility of this investment decision model was proved by some practical examples.

关 键 词：马尔可夫 股票投资 投资决策模型 最优投资策略 股票价格 规划模型 残差序列 二阶 最优策略 实例验证 

分 类 号：TD-05[矿业工程] F830[经济管理—金融学]