title: Add a subcolumn to each column on multilevel column index
body: <p>I have a dataframe of the following format:</p>
  
  <pre><code>                                                                                           59e75f2b9e182f68cf25721d 59e75f2bc0bd722a5f395ee9 59e75f2c05e40310ebe1f433  ... 5c4869550bf31d2f95cedb56 5c486a8cd3036d2417fdc61c 5c486b17d5ddca8d7f67a516
                                                                                             act                      act                      act  ...                      act                      act                      act
  organisation_id          group_id                 datetime                                                                                        ...                                                                           
  59e7515edb84e482acce8339 59e75177575fc94638c1f8e7 2018-04-01 02:00:00                      NaN                      NaN                      NaN  ...                      NaN                      NaN                      NaN
                                                    2018-04-01 02:01:00                      NaN                      NaN                      NaN  ...                      NaN                      NaN                      NaN
                                                    2018-04-01 02:02:00                      NaN                     2.15                      NaN  ...                      NaN                      NaN                      NaN
                                                    2018-04-01 02:03:00                      NaN                      NaN                    3.689  ...                      NaN                      NaN                      NaN
                                                    2018-04-01 02:04:00                      NaN                      NaN                      NaN  ...                      NaN                      NaN                      NaN
  ...                                                                                        ...                      ...                      ...  ...                      ...                      ...                      ...
                           5cb590649f18c69541d34f7a 2019-04-01 01:55:00                      NaN                      NaN                      NaN  ...                      NaN                      NaN                      NaN
                                                    2019-04-01 01:56:00                      NaN                      NaN                      NaN  ...                      NaN                      NaN                      NaN
                                                    2019-04-01 01:57:00                      NaN                      NaN                      NaN  ...                      NaN                      NaN                     3.07
                                                    2019-04-01 01:58:00                      NaN                      NaN                      NaN  ...                      NaN                      NaN                      NaN
                                                    2019-04-01 01:59:00                      NaN                      NaN                      NaN  ...                     2.36                      NaN                      NaN
  </code></pre>
  
  <p>I have one column that i would like to assign as subcolumn (additional to <code>act</code>) to each of the level 0 columns but i am stuck with the multilevel column assignment syntax.</p>
  
  <p>I have tried this </p>
  
  <pre><code>frame[:, 'act_group_mean'] = group_mean
  </code></pre>
  
  <p>or</p>
  
  <pre><code>frame[slice(None), (slice(None), 'act_group_mean')] = group_mean
  </code></pre>
  
  <p>but both yield the following error</p>
  
  <pre><code>TypeError: unhashable type: 'slice'
  </code></pre>
  
  <p>I also tried using <code>.loc</code></p>
  
  <pre><code>frame.loc[slice(None), (slice(None), 'act_group_mean')] = group_mean
  </code></pre>
  
  <p>which leads to a key error because the columns don't exist yet.</p>
  
  <pre><code>KeyError: 'act_group_mean'
  </code></pre>
  
  <p>Is it even possible to add a sublevel column like this? I'm really confused by the syntax at this point.</p>