The Decision-making Research of the Family Financial Investment Based on the Improvement of Black-litterman

摘要

Since Campbell put forward the concept of family financial,the research on family finance goes more deeply.In the researchon investment decision-making method of family financial,it was found that the mean-variance theory of Markowitz's has its inherent defects.Fisher Black and Robert Litterman developed a new model on the basis of combining equilibrium income with investor's subjective point of view through the Bayesian method.This solved the defects of the mean-variance model.Based on the application on the original Black-Litterman model,ARMA method is used to replace the original estimation method of equilibrium income,this enables the model to adapt to the variety of financial assets allocation decisions much better.Finally,this paper carries on a empirical research based on China's stock market and bond market data,and the results also show that the improved model can achieve better investment performance.