The problem of optimal asset allocation with stable distributed returns

This paper discusses two optimal allocation problems and proposes some new discrete time stable portfolio selection models consistent with the maximization of the expected utility. In particular, we examine and compare the optimal allocation obtained assuming respectively either Gaussian or the stable non-Gaussian distributed index returns. Furthermore, we analyze symmetric and asymmetric discrete time portfolio selection models with stable distributed returns and we review stable Paretian models in risk management and option pricing.