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)[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
Documentation
Team
Jae H. Kim
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