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

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.


Reference manual

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1.1 by Jae H. Kim, 2 years ago

Browse source code at

Authors: Jae H. Kim <[email protected]>

Documentation:   PDF Manual  

GPL-2 license

See at CRAN