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.

Package details

AuthorJae H. Kim <[email protected]>
MaintainerJae H. Kim <[email protected]>
LicenseGPL-2
Version1.1
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("GRS.test")

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GRS.test documentation built on May 2, 2019, 12:33 a.m.