We characterize the investor’s optimal portfolio allocation subject to a budget constraint and a probabilistic VaR constraint in complete markets environments with a finite number of states. The set of feasible portfolios might no longer be connected or convex, while the number of local optima...

The class of alpha-stable distributions is an attractive probabilistic model of asset returns distribution in the field of finance. When dealing with real issues, such as optimal portfolio selection, it is important that we can compute the Conditional Value-at-Risk (CVaR) accurately. CVaR is...