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: 1.1
Published: 2017-12-04
Author: Jae H. Kim
Maintainer: Jae H. Kim <J.Kim at latrobe.edu.au>
License: GPL-2
NeedsCompilation: no
CRAN checks: GRS.test results

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Reference manual: GRS.test.pdf
Package source: GRS.test_1.1.tar.gz
Windows binaries: r-devel: GRS.test_1.1.zip, r-release: GRS.test_1.1.zip, r-oldrel: GRS.test_1.1.zip
OS X El Capitan binaries: r-release: GRS.test_1.1.tgz
OS X Mavericks binaries: r-oldrel: GRS.test_1.1.tgz
Old sources: GRS.test archive

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