https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1404905.

Hello everyone,

In the link above, Meucci explains that in order to find a combination leading to cointegration of several series X , you have to find the vector w which minimise the quantity Var(w'X). I do not understand why we want to minimise variance. Because stationarity needs constant variance and not the smallest possible variance.

Thank you for your help !

This paper by Meucci explains that in order to find a combination leading to cointegration of several series $X$, you have to find the vector $w$ which minimise the quantity $\textrm{Var}(w'X)$. I do not understand why we want to minimise variance. Because stationarity needs constant variance and not the smallest possible variance.