inverse vol with cash weighting
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ABCDEFGHIJKLMNOPQRSTUVWXYZ
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SolveCheck
Portfolio with cash
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s_t0.025w0.059789523equal riskrawnormalised
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s10.161-w0.940210477w6.250.1111111111
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s20.02w2s129.15E-051-w500.8888888889
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rho0.5‘(1-w)s220.0003535983
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cov term0.0001798872w0.1111111111
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1-w0.8888888889
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a0.0228variance0.000625w2s120.0003160494
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b0.0024
standard deviation
0.025
Should equal c5
‘(1-w)s220.0003160494
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c-0.000225cov term0.0003160494
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variance0.0009481481
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-b-0.0024
standard deviation
0.0307920144
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sqrt(b2-4ac)0.0051264022
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2a0.0456risk target0.025
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cash prop0.188101184
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With +0.059789523
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With --0.1650526809
ignore this solution
check
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w0.0902109796
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w10.0597895231-w0.7216878365
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w20.940210477w2s120.0002083333
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‘(1-w)s220.0002083333
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cov term0.0002083333
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In risk weighted terms
Check risk weighted in cash terms
variance0.000625
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standard deviation
0.025
should equal k17
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w10.0095663237w12.107451507
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w20.0188042095w233.14038795
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normalisednormalised
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w10.337192241w10.059789523
check same as c20
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w20.662807759w20.940210477
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