I have found a very useful post regarding the use of Monte Carlo simulaton to obtain portfolio Value at risk, based on Cholesky decomposition, random variates, etc. This post I'm talking about is: Is there a step-by-step guide for calculating portfolio VaR using monte carlo simulations

However, I don't understand if those same steps can be followed if I have different asset classes in my portfolio. For example, what if I have an Apple stock, a US Treasury Bond and a derivative (maybe an option on that same stock) with weights being 35%, 45%, 20% respectively?? Should I use duration, delta, gamma, etc?? How would this work? Thanks a lot.


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