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.

Version:	1.2
Published:	2022-07-01
DOI:	10.32614/CRAN.package.GRS.test
Author:	Jae H. Kim
Maintainer:	Jae H. Kim <jaekim8080 at gmail.com>
License:	GPL-2
NeedsCompilation:	no
CRAN checks:	GRS.test results

Documentation:

Reference manual:

GRS.test.pdf

Downloads:

Package source:	GRS.test_1.2.tar.gz
Windows binaries:	r-devel: GRS.test_1.2.zip, r-release: GRS.test_1.2.zip, r-oldrel: GRS.test_1.2.zip
macOS binaries:	r-release (arm64): GRS.test_1.2.tgz, r-oldrel (arm64): GRS.test_1.2.tgz, r-release (x86_64): GRS.test_1.2.tgz, r-oldrel (x86_64): GRS.test_1.2.tgz
Old sources:	GRS.test archive

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