GRS.test: GRS Test for Portfolio Efficiency, Its Statistical Power Analysis, and Optimal Significance Level Calculation
Version 1.1

Computational resources for test proposed by Gibbons, Ross, Shanken (1989). 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]>
Date of publication2017-12-04 04:53:27 UTC
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")

Try the GRS.test package in your browser

Any scripts or data that you put into this service are public.

GRS.test documentation built on Dec. 4, 2017, 9:03 a.m.