The structural Sharpe model under t-distributions

摘要

In this paper we consider Sharpe's single-index model or Sharpe's model, by assuming that the returns obtained follow a multivariate t elliptical distribution. Also, given that the returns of the market are not observable, the statistical analysis was made in the context of an errors-in-variables model. In order to analyze the sensibility to possible outliers and/or atypical returns of the maximum likelihood estimators the local influence method [10] was implemented. The results are illustrated by using a set of shares of companies belonging to the Chilean Stock Market. The main conclusion is that the t model with small degrees of freedom is able to incorporate possible outliers and influential returns in the data.