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.
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Received: 25 October 2007
Published: 28 November 2008
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Corresponding Authors:
CHEN Zheng-xu
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