How to set up vcpkg?

I am looking for a way to use vcpkg with the Windows environment, and have proper caching for reasonable build times. If anyone here has already set this up, would you be willing to share your configuration so that I could use it as a guideline?

Since it’s not preinstalled, you need to install it yourself according to official instructions:

Since in Travis Windows builder, commands are run with Git Bash, make sure to adapt CMD-specific commands, paths and syntax accordingly.

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