tests/testthat/test-portfolio_stdev.R

In samthorold/riskparity: Asset allocation for risk parity

test_that("portfolio_variance sanity check", {
  w <- c(.55, .25, .2)
  s <- c(.24, .18, .15)
  C <- matrix(c(1, 0.85, 0.3, 0.85, 1, -0.15, 0.3, -0.15, 1), nrow = 3)
  res <- round(portfolio_stdev(w, s, C), 2)
  exp <- 0.18
  expect_equal(res, exp)
})