Please use this identifier to cite or link to this item: http://repositorio.unicamp.br/jspui/handle/REPOSIP/72510
Type: Artigo de periódico
Title: The structural Sharpe model under t-distributions
Author: Galea, M
Cademartori, D
Vilca, F
Abstract: 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.
Subject: diagnostics
t-distribution
errors-in-variables models
portfolios
Sharpe model
Country: Inglaterra
Editor: Taylor & Francis Ltd
Rights: fechado
Identifier DOI: 10.1080/02664760903207316
Date Issue: 2010
Appears in Collections:Unicamp - Artigos e Outros Documentos

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