inverse vol with cash weighting

	B	C	D	F	G	H	J	K	L
1
2
3	Solve			Check			Portfolio with cash
4
5	s_t	0.025		w	0.059789523		equal risk	raw	normalised
6	s1	0.16		1-w	0.940210477		w	6.25	0.1111111111
7	s2	0.02		w2s12	9.15E-05		1-w	50	0.8888888889
8	rho	0.5		‘(1-w)s22	0.0003535983
9				cov term	0.0001798872		w	0.1111111111
10							1-w	0.8888888889
11	a	0.0228		variance	0.000625		w2s12	0.0003160494
12	b	0.0024		standard deviation	0.025	Should equal c5	‘(1-w)s22	0.0003160494
13	c	-0.000225					cov term	0.0003160494
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15							variance	0.0009481481
16	-b	-0.0024					standard deviation	0.0307920144
17	sqrt(b2-4ac)	0.0051264022
18	2a	0.0456					risk target	0.025
19							cash prop	0.188101184
20	With +	0.059789523
21	With -	-0.1650526809	ignore this solution				check
22							w	0.0902109796
23	w1	0.059789523					1-w	0.7216878365
24	w2	0.940210477					w2s12	0.0002083333
25							‘(1-w)s22	0.0002083333
26							cov term	0.0002083333
27
28	In risk weighted terms			Check risk weighted in cash terms			variance	0.000625
29							standard deviation	0.025	should equal k17
30	w1	0.0095663237		w1	2.107451507
31	w2	0.0188042095		w2	33.14038795
32
33	normalised			normalised
34	w1	0.337192241		w1	0.059789523	check same as c20
35	w2	0.662807759		w2	0.940210477
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