  This paper is devoted to study the optimal portfolio problem. Harry
Markowitz's Ph.D. thesis prepared the ground for the mathematical theory of
finance. In modern portfolio theory, we typically find asset returns that are
modeled by a random variable with an elliptical distribution and the notion of
portfolio risk is described by an appropriate risk measure. In this paper, we
propose new stochastic models for the asset returns that are based on Jumps-
Diffusion (J-D) distributions. This family of distributions are more compatible
with stylized features of asset returns. On the other hand, in the past
decades, we find attempts in the literature to use well-known risk measures,
such as Value at Risk and Expected Shortfall, in this context. Unfortunately,
one drawback with these previous approaches is that no explicit formulas are
available and numerical approximations are used to solve the optimization
problem. In this paper, we propose to use a new coherent risk measure,
so-called, Entropic Value at Risk(EVaR), in the optimization problem. For
certain models, including a jump-diffusion distribution, this risk measure
yields an explicit formula for the objective function so that the optimization
problem can be solved without resorting to numerical approximations.
