shabbychef/qbound repository overview

⁠Bounds on Portfolio Quality

This repo holds the code to rebuild the paper, "Bounds on Portfolio Quality." There are a few ways to build the paper:

1. Build it locally on your computer via knitr and R. This will require the following packages: knitr, devtools, doFuture, doRNG, dplyr, ggplot2, hypergeo, knitr, LambertW, quantmod, SharpeR, tidyr, xtable, and aqfb.data, which is available from github via

install_github("shabbychef/aqfb_data")

Then you can build via

knitr::knit('qbound.Rnw')

1. The doc can be built via docker, which constructs an environment containing the proper packages. This is most simply achieved via a makefile target:

$ make docker_doc

The doc will be deposited in output/qbound.pdf.

1. The doc can be built via docker with the docker image pulled from docker hub:

$ docker pull shabbychef/qbound
$ mkdir ./output
$ docker run -it --rm -v $(pwd)/output:/srv/output:rw --entrypoint="make" shabbychef/qbound "doc"

The doc will be deposited in output/qbound.pdf. You can control the build speed/resolution tradeoff with the environment variable RUNTIME_PARAM as follows:

$ docker pull shabbychef/qbound
$ mkdir ./output
$ docker run -it --rm -v $(pwd)/output:/srv/output:rw -e RUNTIME_PARAM=50 --entrypoint="make" shabbychef/qbound "doc"

⁠Testing

The simulations in this document can take several hours, but can take advantage of multicore machines. To speed up the build with fewer simulations, either adjust the variable RUNTIME_PARAM in the qbound.Rnw to default to a number bigger than 1, something like 50, say, to get an approximately 50x speedup in simulation runtime. This can be controlled via the environment variable of the same name:

$ RUNTIME_PARAM=50 make docker_doc

⁠Published Version

The version as published in the MDPI Journal of Risk and Financial Management can be made via a separate target:

$ make docker_mdpi
# or
$ docker pull shabbychef/qbound
$ mkdir ./output
$ docker run -it --rm -v $(pwd)/output:/srv/output:rw -e RUNTIME_PARAM=50 --entrypoint="make" shabbychef/qbound "mdpi"

⁠Screencast

Watch me stumble around building the doc: .