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GRS.test: GRS Test for Portfolio Efficiency, Its Statistical Power Analysis, and Optimal Significance Level Calculation
Computational resources for test proposed by Gibbons, Ross, Shanken (1989)<DOI:10.2307/1913625>. It also has the functions for the power analysis and the choice of the optimal level of significance. The optimal level is determined by minimizing the expected loss from hypothesis testing.
Getting started
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Package details |
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| Author | Jae H. Kim <jaekim8080@gmail.com> |
| Maintainer | Jae H. Kim <jaekim8080@gmail.com> |
| License | GPL-2 |
| Version | 1.2 |
| Package repository | View on CRAN |
| Installation |
Install the latest version of this package by entering the following in R:
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