摘要
将股票价格的波动分成两部分 :具有趋势性的波动和具有马尔可夫性的波动 .应用马尔可夫链理论研究证券投资组合 。
In this paper, we divide the fluctuation of the stock price into two parts: the trend fluctuation and the Markov chain fluctuation, and then apply the theory of Markov chain to analysis of portfolio and optain the calculating formulas of the statioary distribution and the expectation gains of the portfolio.
基金
This research is partially supported by Xinjiang U niversity
