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CHEN Zheng-xu，XU Xiao-hua，PANG Qing-wu
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Abstract: Giltequity yield ratio (GEYR) was predicted using Kalman filter, then a Markov regime switching investment strategy was set up. Compared with other investment strategies，the Markov regime switching investment strategy is not proved to be the best. However, with the development of China capital market，it is necessary to take consideration of this method.
CLC Number:
F 830.593
CHEN Zheng-xu，XU Xiao-hua，PANG Qing-wu. Research about the Feasibility of GiltEquity Yield Ratio Act as an Investment Strategy[J]. Journal of Shanghai Jiaotong University.
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https://xuebao.sjtu.edu.cn/EN/Y2008/V42/I11/1793
