The aim of this short review is to outline the main directions of stable Paretian modeling in portfolio management. Copyright Springer-Verlag Berlin Heidelberg 2000

Although asset return distributions are known to be conditionally leptokurtic, this fact has rarely been addressed in the recent GARCH model literature. For this reason, we introduce the class of smoothly truncated stable distributions (STS distributions) and derive a generalized GARCH option...