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I'm facing a problem in a project that I'm not being able to solve. I have two different timeseries, and I want to construct an index that represents the two of them, each of variable weights (so I could choose 50% weight for each, or other combination).

These are financial time series, with these properties:

- The returns on these series aren't normally distributed, they're symmetrical heavy-tailed

- One of the series has both negative and positive values. The other only has positive values

How could I approach this task?

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# I Constructing an Index

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