Yes. Multiple avenues exist to create your own DSP, depending on your budget and technological capabilities. The most accessible option is to set up a DSP using another company’s technology, gaining most of the benefits (e.g., data ownership) at the cost of some flexibility.
Companies with a large advertising budget and access to specialized personnel can develop a 100% custom DSP, granting more benefits (e.g., technology ownership). However, this is costly, requiring a careful strategy to ensure a high return on investment.