Generating random lognormal distribution
- From: "agbiggs@xxxxxxxxxxx" <agbiggs@xxxxxxxxxxx>
- Date: 29 Sep 2006 07:41:29 -0700
I'm trying to generate a random lognormal distribution of stock returns
where the mean return is 6.5% and the standard deviation is 20%.
Previously I've done this with a normal distribution, using
NORMINV(RAND(),mean,stddev). However, since stock returns tend to be
lognormally distributed I'd like to do a lognormal distribution. This
has turned out to be tricky. When I set up
LOGINV(RAND(),ln(mean),ln(stddev)) I get the #NUM error. I believe this
is because the log of a standard deviation expressed in percent (say,
0.20) can be negative. I tried using a larger number (say, multiplying
the mean/stddev by 100 to prevent negative logs) but I'm not sure
that's right.
Does anyone know an easy way to do this? Thanks!
.
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