There are n strategies which are going to be combined linearly. Using a pre-exisiting model I get a set of n weights which will be used to combine the strategies. But the model does not take correlation between strategies into account. How do we account for correlation between strategies when they are added linearly?
w_1, w_2 ... w_n are the weights assigned to n strategies. I have the correlation matrix
C of the returns from these n strategies. How will these weights be adjusted then to account for correlation between the strategies?