Influence diagnostics for the structural sharpe model under normal/independent distributions

DOI10.1080/03610926.2018.1444176MaRDI QIDQ5078377zbMATH OpenOpenAlexFDO

Authors Camila Borelli Zeller, Filidor Vilca, Manuel Galea

Publication date 23 May 2022

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2018.1444176

zbMATH Keywords

errors-in-variables modelsEM-algorithmportfoliosdiagnosticsnormal/independent (NI) distributionsSharpe's model

Mathematics Subject Classification ID

Robustness and adaptive procedures (parametric inference) (62F35)

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• The errors-in-variable model in the optimal portfolio construction
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Cited in

(1)

• Local influence diagnostics for the test of mean-variance efficiency and systematic risks in the capital asset pricing model

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