1. This approximation turns out to be rather precise for values of ci (the index correlation of asset i) smaller than the threshold c, and larger than about -0.5, which holds for nearly all asset classes. For example, with a threshold c=0.8, the approximation is near perfect for ci around zero and good for a range of 0.8 > ci > -0.3. In eq. (A.2) we recognize the geometrical expression (1-ci)^wC (with wC=1/c) used in EAA for the correlation ci, as well as the (inverse) term for the volatility vi^wV with weight wV=1;wi ~ (1-ci)^(1/c) / vi for ci