The General Linear Model (GLM) is the parent model of econometrics. Simultaneous equations and seemingly unrelated regression equation (SURE) models, to name but a few, can be formulated as a GLM. The estimation of the GLM can be viewed as a Generalized Linear Least-Squares problem (GLLSP). The...

Vector Autoregressive processes of order p (VAR(p)) with coefficient restrictions can be formulated as a SURE model. The response vectors and the coefficient matrices of the regression equations comprise columns from a Toeplitz matrix. Numerical and computational methods that solve the SURE...

The paper first compares the use of optimization heuristics to the classical optimization techniques for the selection of optimal portfolios. Second, the heuristic approach is applied to problems other than those in the standard mean-variance framework where the classical optimization fails.