Single-asset portfolio allocation using markov decision process-A case from the Saudi stock market

Khalid Al-Khodhairi; Abdualziz Ben Baz; Mohammad AlDurgam

Single-asset portfolio allocation using markov decision process-A case from the Saudi stock market

Khalid Al-Khodhairi, Abdualziz Ben Baz, Mohammad AlDurgam

Research output: Contribution to journal › Conference article › peer-review

Abstract

This paper presents a Markov Decision Process (MDP) model for single portfolio allocation in Saudi Exchange Market. The model consists of six states small increase, medium increase, large increase, small decrease, medium decrease and large decrease with three decisions, buy, sell and keep. The model is developed for three major Saudi companies namely SABIC, Rajhi Bank and SEC along with TASI index. 5-years data were analyzed to developed Markovien transition probabilities. Analysis for both the MarkovChain, and the MDP, provides the investors with the necessary insights to make informed and optimum decisions.

Original language	English
Pages (from-to)	240-249
Number of pages	10
Journal	Proceedings of the International Conference on Industrial Engineering and Operations Management
Issue number	November
State	Published - 2019

Bibliographical note

Publisher Copyright:
© IEOM Society International.

Keywords

Markov decision process
Single-asset portfolio
Stock Market

ASJC Scopus subject areas

Strategy and Management
Management Science and Operations Research
Control and Systems Engineering
Industrial and Manufacturing Engineering

Cite this

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title = "Single-asset portfolio allocation using markov decision process-A case from the Saudi stock market",

abstract = "This paper presents a Markov Decision Process (MDP) model for single portfolio allocation in Saudi Exchange Market. The model consists of six states small increase, medium increase, large increase, small decrease, medium decrease and large decrease with three decisions, buy, sell and keep. The model is developed for three major Saudi companies namely SABIC, Rajhi Bank and SEC along with TASI index. 5-years data were analyzed to developed Markovien transition probabilities. Analysis for both the MarkovChain, and the MDP, provides the investors with the necessary insights to make informed and optimum decisions.",

keywords = "Markov decision process, Single-asset portfolio, Stock Market",

author = "Khalid Al-Khodhairi and Baz, \{Abdualziz Ben\} and Mohammad AlDurgam",

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year = "2019",

language = "English",

pages = "240--249",

journal = "Proceedings of the International Conference on Industrial Engineering and Operations Management",

issn = "2169-8767",

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Single-asset portfolio allocation using markov decision process-A case from the Saudi stock market. / Al-Khodhairi, Khalid; Baz, Abdualziz Ben; AlDurgam, Mohammad.
In: Proceedings of the International Conference on Industrial Engineering and Operations Management, No. November, 2019, p. 240-249.

Research output: Contribution to journal › Conference article › peer-review

TY - JOUR

T1 - Single-asset portfolio allocation using markov decision process-A case from the Saudi stock market

AU - Al-Khodhairi, Khalid

AU - Baz, Abdualziz Ben

AU - AlDurgam, Mohammad

N1 - Publisher Copyright: © IEOM Society International.

PY - 2019

Y1 - 2019

N2 - This paper presents a Markov Decision Process (MDP) model for single portfolio allocation in Saudi Exchange Market. The model consists of six states small increase, medium increase, large increase, small decrease, medium decrease and large decrease with three decisions, buy, sell and keep. The model is developed for three major Saudi companies namely SABIC, Rajhi Bank and SEC along with TASI index. 5-years data were analyzed to developed Markovien transition probabilities. Analysis for both the MarkovChain, and the MDP, provides the investors with the necessary insights to make informed and optimum decisions.

AB - This paper presents a Markov Decision Process (MDP) model for single portfolio allocation in Saudi Exchange Market. The model consists of six states small increase, medium increase, large increase, small decrease, medium decrease and large decrease with three decisions, buy, sell and keep. The model is developed for three major Saudi companies namely SABIC, Rajhi Bank and SEC along with TASI index. 5-years data were analyzed to developed Markovien transition probabilities. Analysis for both the MarkovChain, and the MDP, provides the investors with the necessary insights to make informed and optimum decisions.

KW - Markov decision process

KW - Single-asset portfolio

KW - Stock Market

UR - https://www.scopus.com/pages/publications/85080909047

M3 - Conference article

AN - SCOPUS:85080909047

SN - 2169-8767

SP - 240

EP - 249

JO - Proceedings of the International Conference on Industrial Engineering and Operations Management

JF - Proceedings of the International Conference on Industrial Engineering and Operations Management

IS - November

ER -

Single-asset portfolio allocation using markov decision process-A case from the Saudi stock market

Abstract

Bibliographical note

Keywords

ASJC Scopus subject areas

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