New answers tagged mean-variance
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...this technique works only when returns are generated from normal distributions?
Yes and no. Multiplying them by $C$ will produce the correlation that you wanted, but it won't preserve the distribution in general. Remember that when we apply $C$ to a vector of i.i.d. random variables $\boldsymbol{x}$ that the resultant vector element is $\sum_j C_{ij}x_j$,...
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