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 Markov Chain, and the MDP, provides the investors with the necessary insights to make informed and optimum decisions.