Sampling the Multivariate Standard Normal Distribution under a Weighted Sum Constraint

Frédéric Vrins

No 2018005, LIDAM Reprints LFIN from Université catholique de Louvain, Louvain Finance (LFIN)

Date: 2018-01-01
Note: In : Risks, Vol. 6, no. 3, p. 64 (2018)
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Journal Article: Sampling the Multivariate Standard Normal Distribution under a Weighted Sum Constraint (2018)
Working Paper: Sampling the multivariate standard normal distribution under a weighted sum constraint (2018)
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