|Simulation|Modified VaR| Correlation| Regression| Cholesky Matrix| Distribution| Diversification|
|Skewness| Sharpe| Fund of Funds |4 Moment CAPM| Stress Test| Coskewness| Black-Litterman|
The matrix M has some interesting properties.  It is used when simulating a portfolio of assets. The Cholesky decomposition separates a matrix E in two identical matrices M:


The matrix E is a matrix including the assets' correlation.The matrix M is called Cholesky matrix.  It is a lower triangular matrix. Multiplying the Cholesky matrix M with simulated random vectors will give linearly correlated random returns (see P.Wilmott, Derivatives , 1998, p.682).