The multivariate normal distribution extends the concept of the normal distribution to two or more dimensions. Just like the one-dimensional normal distribution is defined by its mean and variance, the multivariate normal distribution is determined by the means, variances, and correlation coefficients of its components. This distribution is useful in many real-world situations and can be applied to financial portfolio analysis. The multivariate normal distribution is easy to work with mathematically and arises when combining many independent random variables.