An implementation of enhanced versions of the classical Leaps and Bounds algorithm for variable selection is provided. Features of this implementation include: (i) The availability of general routines capable of handling many different statistical methodologies and comparison criteria. (ii)...

We study the problem of selecting an optimal portfolio out of a finite set of available assets. Assets are characterized by their expected returns and the covariance matrix, and investors are assumed to have a mean–variance utility, that is, their utility function is linear in the mean and...