f_test_RSRL: Function computing coefficients and significance levels of...
In DiversificationR: Econometric Tools to Measure Portfolio Diversification

Description Usage Arguments Value Author(s) References Examples

View source: R/portfoliodiversificationR.R

This function computes coefficients and significance levels of the RSRL and mRSRL. It performs the (under)diversification test of a given portfolio compared to its benchmark.

1	f_test_RSRL(v_input_p_r, v_input_b_r, input_c, input_b, input_sim, b_input_s, input_prob)

`v_input_p_r`	A vector of portfolio returns
`v_input_b_r`	A vector of portfolio returns
`input_c`	A numerical value (number of data repetitions)
`input_b`	A numerical value (size of the block - time dimension)
`input_sim`	A numerical value (number of simulations)
`b_input_s`	A boolean value (percentile or studentized bootstrap)
`input_prob`	A numerical value (probability)

`RSRL`	A numerical value (RSRL coefficient)
`Signif_level_RSRL`	Numerical value (RSRL significance level)
`mRSRL`	A numerical value (RSRL coefficient)
`Signif_level_mRSRL`	Numerical value (mRSRL significance level)

Jean-Baptiste Hasse

Candelon, Bertrand, Franz Fuerst, and Jean-Baptiste Hasse. "Diversification Potential in Real Estate Portfolios." (2020) Cambridge Working Paper.

# NOT RUN {

  # Load data
  data("data_efficient_portfolios_returns")

  # Prepare data
  v_port <- data_efficient_portfolios_returns[,2]
  v_bench <- data_efficient_portfolios_returns[,1]

  # Test RSRL and mRSRL
  f_test_RSRL(v_port, v_bench, 10, 2, 1000, TRUE, 0.95)

# }