Package a .jar into a single .exe alongside the needed JRE

Question

I was wondering how I could package my .jar into a single clickable .exe file, that contains all java related stuff to run, dropping the need for installing JRE. The solution I found was to do it using launch4j and having the .exe inside a folder with the JRE but I was wondering whether I could just bundle the JRE into the .exe witout the need to have it in the same folder as the JRE needed.