In　this　paper,　we　introduced　robust　regression　method　into　the　solving　process　of　single　index　portfolio　model　presented　by　Sharp　in　1963,　in　order　to　reduce　the　influence　on　parameter　estimates　caused　by　the　outliers　in　observed　returns.　Finally,　we　gave　our　empirical　analysis　on　10　small　company　stocks　and　10　big　company　stocks　from　Shanghai　a　stock　market　separately　when　the　market　performed　under　different　tendencies　in　a　long-term,　and　compared　their　portfolio　efficient　frontiers　obtained　by　OLS　estimate　and　robust　estimate.