DiversificationR (version 0.1.0)

f_test_RSRL: Function computing coefficients and significance levels of the RSRL and mRSRL

Description

This function computes coefficients and significance levels of the RSRL and mRSRL. It performs the (under)diversification test of a given portfolio compared to its benchmark.

Usage

f_test_RSRL(v_input_p_r, v_input_b_r, input_c, input_b, input_sim, b_input_s, input_prob)

Arguments

v_input_p_r

A vector of portfolio returns

v_input_b_r

A vector of portfolio returns

input_c

A numerical value (number of data repetitions)

input_b

A numerical value (size of the block - time dimension)

input_sim

A numerical value (number of simulations)

b_input_s

A boolean value (percentile or studentized bootstrap)

input_prob

A numerical value (probability)

Value

RSRL

A numerical value (RSRL coefficient)

Signif_level_RSRL

Numerical value (RSRL significance level)

mRSRL

A numerical value (RSRL coefficient)

Signif_level_mRSRL

Numerical value (mRSRL significance level)

References

Candelon, Bertrand, Franz Fuerst, and Jean-Baptiste Hasse. "Diversification Potential in Real Estate Portfolios." (2020) Cambridge Working Paper.

Examples

# NOT RUN {
# NOT RUN {

  # Load data
  data("data_efficient_portfolios_returns")

  # Prepare data
  v_port <- data_efficient_portfolios_returns[,2]
  v_bench <- data_efficient_portfolios_returns[,1]

  # Test RSRL and mRSRL
  f_test_RSRL(v_port, v_bench, 10, 2, 1000, TRUE, 0.95)

# }
# }