| f_test_RSRL {DiversificationR} | R Documentation |
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) |
Author(s)
Jean-Baptiste Hasse
References
Candelon, Bertrand, Franz Fuerst, and Jean-Baptiste Hasse. "Diversification Potential in Real Estate Portfolios." (2020) Cambridge Working Paper.
Examples
# 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)
# }