Monte Carlo Simulation

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Hey guys,

I am trying to simulate some stock return data with the random number generator.. I have 7 stocks that I want to simulate with a multivariate normal distribution where the inputs are the mean vector and the covariance matrix..

The random number generator that comes with Excel does not have a feature for multivariate normal distributions and I am trying to avoid having to buy a new program or add-in... Is there any way to do this? maybe using vba code?

Thanks in advance.
 

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I'm not sure I understand what you mean... I have some return data and I have calculated the mean vector and covariance matrix on that data... I want to simulate random numbers from a multivariate normal distribution using the mean vector and covariance matrix from the above-mentioned data as inputs... Just like when you do a normally distributed number generation where you use the mean and standard deviation of the existing data... :/
 
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This has just come out in a new 2010 version of an online journal:
<?xml:namespace prefix = o ns = "urn:schemas-microsoft-com:eek:ffice:eek:ffice" /><o:p> </o:p>
The Journal of Financial Modeling and Educational Technology<o:p></o:p>
Winter 2010 (Vol. 1, No. 1)<o:p></o:p>

The article is available without registering.
The Excel file is available with registering.


Generating Correlated Normally Distributed Random Numbers in Excel

http://www.afmet-online.org/journal
 
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