div multiplier
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ABCDEFGHIJKLMNOPQRSTUVWXYZ
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10.50.5
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0.510.5
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1.154700538
Div multiplier for group AB
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Div multiplier for group C
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Raw weights
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GroupIn groupmult out
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A0.50.50.25
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B0.50.50.25
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C0.510.5
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Apply div multiplier to group weights
New eights
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GroupIn groupmult out
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A0.53589838490.50.2679491924
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Start weightMultiply DMNormB0.53589838490.50.2679491924
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AB0.50.57735026920.5358983849C0.464101615110.4641016151
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C0.50.50.4641016151
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Check
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Risk of ABRisk of C
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s10.1
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s20.1
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rho0.5
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W10.5
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w20.5
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w2s120.0025
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‘(1-w)s220.0025
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cov term0.0025
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variance0.0075
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standard deviation
8.66%10.00%
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Inverse vol weighted portfolio using true vols
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Norm
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AB0.55.7735026920.5358983849
should match d18
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C0.550.4641016151
should match d19
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