I am trying to employ the MVP method to determine optimal weights for a
data, which is fine for me to do.
However, I intend to use a different Data generating process (DGP) such as
Vector Autoregressive Process (VAR), and then compute the optimal weights.
Theoretically, it looks okay but empirically, have someone carried out this
before? If yes: how did you go about it?
I would be grateful for your constructive and helpful comments.
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