GRS.test

GRS Test for Portfolio Efficiency, Its Statistical Power Analysis, and Optimal Significance Level Calculation

CRAN Package

Computational resources for test proposed by Gibbons, Ross, Shanken (1989)[https://doi.org/10.2307%2F1913625]. 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.

  • Version1.2
  • R versionunknown
  • LicenseGPL-2
  • Needs compilation?No
  • Last release07/01/2022

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