In the most general case we can solve the above problem a defined joint distribution of the return vector. However, in the the vectors of risky returns z = [z,...,z]' t = 0, t,...,t are sta-

Y d S 2 ( Y , Y ,0) is 2-stable distributed random variable, independent of , with 1 < 2 < 2 and zero mean. Under these assumptions, the portfolios are in the domain of attraction of an stable law with = min( 1, 2). A testable case in which Y is 2-stable symmetric distributed (i.e. Y = 0), was recently studied by Götzenberger, Rachev and Schwartz (2001). When Y = 0 and 1 = 2, this model can lead to the two-fund separation Fama's model. The characteristic function of the vector of returns z = [z1,z2, ..., zn]' is given by:

– | t 'b Y| 2 (1 – i Y sgn(t'b) tan 22 + it' )' where b = [b1,..., bn]' is the coefficient vector and = [ 1,..., n]' is the mean vector.