Generate correlated normal random series

gt213

Board Regular
Joined
Jul 5, 2016
Messages
61
Hi,

I'm hoping someone can help me with the following.

In excel I'd like to simulated return series for 2 correlated assets, X&Y, with the following properties, and using a normal distribution:

Mean X:0.15%, Std Dev X:7.25%
Mean Y:0.55%, Std Dev Y: 5.5%
Correlation of X,Y: 0.66

Thanks
 

Excel Facts

Whats the difference between CONCAT and CONCATENATE?
The newer CONCAT function can reference a range of cells. =CONCATENATE(A1,A2,A3,A4,A5) becomes =CONCAT(A1:A5)

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