Hello,

I am trying to simulate the returns of a portfolio composed of 20 variables in excel. I am using the =norm.inv(rand(),mean, standard deviation) function. Before integrating correlations between the variables using Cholesky decomposition, I standardized the data, i.e. (x-mean)/standard deviation. Once the correlation have been integrated, I de-standardized the data, basically reversed the process of standardization, to keep the same mean and standard deviation of each variable. I am wondering if this is correct from the statistical point of view. I am not sure standardization of data is necessary before applying Cholesky decomposition. It would be great to find a reference to some kind of scientific paper. I need this for work. Your help would be much appreciated. Thank you!