The PowerShell `New-SelfSignedCertificate` cmdlet

The PowerShell New-SelfSignedCertificate cmdlet creates X.509 certificates and private key/public key pairs.
You can save the private key to disk and then use it to issue and sign new certificates, thus simulating a hierarchy of chained certificates.
The cmdlet is intended for use only as an aid when developing services and should never be used to create certificates for actual deployment.

How to build a chain of trust with the New-SelfSignedCertificate PowerShell cmdlet?