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The procedure to compute the informative set adjusts the method              proposed by              Mariani et al. (2022a) <doi:10.1007/s11205-020-02440-6>              and              Mariani et al. (2022b) <doi:10.1007/s10287-022-00422-2>              to gross returns of financial assets.              This is accomplished through an adaptive algorithm             that identifies sub-groups of gross returns in              each iteration by approximating their distribution with a             sequence of two-component log-normal mixtures.              These sub-groups emerge when a significant change             in the distribution occurs below the median of the              financial returns, with their boundary termed as             the \u201cchange point\" of the mixture.              The process concludes when no further change points are detected.             The outcome encompasses parameters of the leftmost mixture              distributions and change points of the             analyzed financial time series.             The functionalities of the INFOSET package include: (i) modelling asset distribution             detecting the parameters which describe left tail behaviour (infoset function), (ii) clustering, (iii) labeling of the financial             series for predictive and classification purposes through a Left Risk measure based on the first change point (LR_cp function)             (iv) portfolio construction (ptf_construction function).             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