Assuming I want to run an optimization over a short period, say 2 years, I would decide to take daily values in order to compute the efficient frontier of a portfolio. That works fine as long as I have classical assets with daily indices.
For other asset classes, these indices might not exists. How would you then proceed?
Do you use monthly values? If so, it looks like there won't be enough observations in the sample (only 24 for 2 years)... Would you then increase the period?
I guess one could try to do a linear interpolation of the points during the months, but it would be useless as the resulting series would have more "generated" points than original ones.
Is there another alternative?