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
Author: Jae H. Kim
Maintainer: Jae H. Kim <jaekim8080 at>
License: GPL-2
NeedsCompilation: no
CRAN checks: GRS.test results


Reference manual: GRS.test.pdf


Package source: GRS.test_1.2.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
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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