Multivariate Gaussian Distribution

Simulate asset returns using a multivariate Gaussian distribution, optionally subject to an exact sample mean vector and (biased) sample covariance matrix constraint.

References

• Wikipedia, Normal distribution
• K.-H. Li, Generation of random matrices with orthonormal columns and multivariate normal variates with given sample mean and covariance, J. Statist. Comput. Simulation 43 (1992) 11–18