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《Journal of Shanghai Jiaotong University》 2008-11
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Research about the Feasibility of Gilt-Equity Yield Ratio Act as an Investment Strategy

CHEN Zheng-xu,XU Xiao-hua,PANG Qing-wu(Antai College of Economics & Management,Shanghai Jiaotong University,Shanghai 200052,China)  
Gilt-equity 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.
【CateGory Index】: F224;F832.51
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