Simulate a matrix of multivariate normal returns using Monte-Carlo with the option to preserve an expected correlation structure.
Simulate a matrix of returns using multi-variate Monte-Carlo.
The following describes the function signature for use in Microsoft Excel's formula bar.
Matrix of multi-variate returns simulated using Monte-Carlo.
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| Argument | Description |
|---|---|
mu
Required. Vector of expected returns.
sigma
Required. Vector of expected risk.
rho
Optional. Correlation matrix. If not specified, the function assumes zero correlation coefficients (identity matrix).
isRhoExact
Optional. Logical (TRUE or FALSE). If TRUE, the sample mean and covariances will match mu and sigma. The resulting compounded (terminal) prices will be in close agreement, set to FALSE for typical expected value behavior. If the argument is not specified, the function defaults to FALSE.
T
Optional. Time horizon (number of observations, in years) to generate. If not specified, defaults to 1.
dataPeriodicity
Optional. Periodicity of the data, used for annualization. If you do not enter the argument, it defaults to 1. e.g. Daily = 255, Monthly = 12, Yearly = 1, Quarterly = 4.
