Package: GRS.test 1.2
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.
Authors:
GRS.test_1.2.tar.gz
GRS.test_1.2.zip(r-4.5)GRS.test_1.2.zip(r-4.4)GRS.test_1.2.zip(r-4.3)
GRS.test_1.2.tgz(r-4.4-any)GRS.test_1.2.tgz(r-4.3-any)
GRS.test_1.2.tar.gz(r-4.5-noble)GRS.test_1.2.tar.gz(r-4.4-noble)
GRS.test_1.2.tgz(r-4.4-emscripten)GRS.test_1.2.tgz(r-4.3-emscripten)
GRS.test.pdf |GRS.test.html✨
GRS.test/json (API)
| # Install 'GRS.test' in R: |
| install.packages('GRS.test', repos = c('https://jh8080.r-universe.dev', 'https://cloud.r-project.org')) |
- data - Fama-French Data: 25 size-B/M portfolio and risk factors
This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.
Last updated 2 years agofrom:506338d1eb. Checks:OK: 3 NOTE: 4. Indexed: yes.
| Target | Result | Date |
|---|---|---|
| Doc / Vignettes | OK | Aug 24 2024 |
| R-4.5-win | NOTE | Aug 24 2024 |
| R-4.5-linux | NOTE | Aug 24 2024 |
| R-4.4-win | NOTE | Aug 24 2024 |
| R-4.4-mac | NOTE | Aug 24 2024 |
| R-4.3-win | OK | Aug 24 2024 |
| R-4.3-mac | OK | Aug 24 2024 |
Exports:GRS.MLtestGRS.optimalGRS.optimalbootGRS.optimalbootweightGRS.optimalweightGRS.PowerGRS.PowerfuncGRS.TGRS.test
Dependencies:
