I am in trouble with a task:
I have a portfolio of 5 assets, and I Have the correlation among them, with a 5x5 matrix.
Since each asset follows the BS formula: , I need to perform a montecarlo simulation, with a number of simulations (N) for instance equal to 10000, for a period of 1 year, with 12 payments (monthly payment).
So I need to simulate the trajectory of each asset, considering the correlation among them. How can I do this? I have seen something regarding the Cholesky decomposition, but I have not understood how do it, since when we simulate the trajectory of each asset, we have a matrix made by: 5 row (asset) and 10000 element inside each row (trajectory each asset)