GRS.test (version 1.0)

GRS.Powerfunc: Power functions for the GRS test

Description

The function plots the power functions for a range of sample size (T), given the other parameter values

Usage

GRS.Powerfunc(Tvec, N, K, theta, alpha = 0.05)

Arguments

Tvec

a vector of sample sizes

N

the number of portfolio returns

K

the number of risk factors

theta

maximum Sharpe ratio of the K factor portfolios

alpha

the level of significance, default is 0.05

Value

Power: Matrix of power values plotted

Details

The power is plotted against the ratio=theta/thetas, the proprotion of potential efficiency

References

Gibbons, Ross, Shanken, 1989. A test of the efficiency of a given portfolio, Econometrica, 57,1121-1152.

See Also

GRS (1989)

Examples

GRS.Powerfunc(Tvec=c(60,120),N=25, K=3,theta=0.3)  # Figure 2 of Kim and Shamsuddin (2016)