Shouldn't be a problem as long as you have the available resources to handle the workload. CPU, Memory, and available I/O on your disk subsystem. Many companies run this in a single environment. A huge benefit of having it on a single server is licensing.
Following from @mikelanders's points, here are a few more: PRO: 1. Less data to go across the wire when you build your cubes--you can potentially load your staging database from the production OLTP database(s) and build the cubes somewhat faster. 2. The marginal cost of maintenance for one extra server is eliminated. Depending upon how automated your environment is, that may be anywhere between minuscule and not-so-small. 3. Aside from licensing, there are server costs. If you're doing this in a virtual environment, the cost is relatively small, but if you need to buy a new server to run the warehouse processing jobs, that can get expensive. CON: 1. If your OLTP and OLAP workloads overlap significantly, you might not have enough resources for both. If the OLTP side is taking 80% already (as a totally made-up number), when the business analysts have their quarter-end look-see through the data, that might overwhelm your system. Having two separate servers would allow you to separate the two concerns better. On the other hand, if your projected workloads have little overlap (all of your business analysts are night owls and only look at reports after everyone else has gone to bed), this could be a more efficient use of the server. That more optimistic idea is probably not going to be the case, though... 2. You might want to maintain your warehouse-related databases differently than your production databases. For our purposes, we have a production warehouse SQL server and a production web application SQL server (as well as a few others). This helps us keep a handle on what's going on and lets us see what kind of load our web applications are generating, separate from anything else. 3. Going back to resources, loading and processing the cubes is resource-intensive. If something happens and your Sunday night job fails, you may need to re-run it on Monday, which could have a bad effect on your other databases. That is, assuming you're not a 24x7 shop--in that case, building the cubes at any time might be trouble. If money is not a binding constraint, I would probably recommend going with the separate warehouse, even if you're in a virtual environment. It lets you be more precise in resource governance and prevents an out-of-control cube processing job from causing your company website to fall over.