risk targeting with groups
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ABCDEFGHIJKLMNOPQRSTUVWXYZ
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Correlations
Equity2 year5 yearStd. Dev
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Equity100Equity16.00%
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2 year010.952 year2.00%
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5 year00.9515 year4.00%
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All values in yellow can be changed
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% invested in equities
100.00%
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% in cash0.00%
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Weighted std dev
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Vol weightEquity50.00%3.125Cash wt.Equity14.30%2.29%
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2 year25.00%12.52 year57.10%1.14%
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5 year25.00%6.255 year28.60%1.14%
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Whole portfolioStd dev3.21%
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just bonds2.26%
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equities16.00%
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Solve
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s_t10.00%
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s116.00%
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s22.26%
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rho0
← would be calculated empirically but we know this
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a0.0261093878
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b-0.0010187755
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c-0.0094906122
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-b0.0010187755
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sqrt(b2-4ac)0.0314994318
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2a0.0522187755
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With +0.622730177
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With --0.5837106672
ignore this solution
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w10.622730177cash weighting
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w20.377269823cash weighting
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