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    The multi-factor model is a multivariate gaussian distribution?

    I'm sure that the following question is trivial, but I can't found a solid demonstration. Can we state that multi-factor model is a multivariate gaussian distribution? multi-factor model: X_ij = sigma_i * Z_i + sqrt(1-sigma_i^2)* E_ij where i=1,...,k j=1,...,n_i 0 < sigma_i <...