GRS.test (1.1)

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.

Maintainer: Jae H. Kim
Author(s): Jae H. Kim <>

License: GPL-2

Uses: Does not use any package

Released almost 2 years ago.