<t>Hi,Thanks for your reply? How does the correlation matrix come into play? From what I heard and read, I thought I will generate two random normal distribution separately, and then use the cholesky decomposition for the covariance matrix to convert the two independent distributions to correlated d...

<t>Thanks! I know where to get started now.... Just 2 follow up questions1) After I found the correlated random parameters from the uncorrelated random parameters using the method you outlined, I would still need to do the simulations for the two assets (with the correlated random parameters) and ad...

anyone please?I have been searching online, couldn't find any answer.any help would be much appreciated. thanks

Yes that's actually what I meant... sorry that I wasn't clear enough the first time

<t>I would like to construct a portfolio with two stocks (say 50 of stock A and 100 of stock B) each assumed to follow geometric brownian motion with known drift and volatility. Is there a way to calculate the resulting drift and volatility of the combined portfolio? Considering both cases where the...