“Don't put all your eggs in one basket, ” is a familiar adage. Economists, such as Marschak, Markowitz, and Tobin, who work only with mean income and its variance, can give specific content to this rule—namely, putting a fixed total of wealth equally into independently, identically distributed investments will leave the mean gain unchanged and will minimize the variance.

The Markowitz analysis of efficient portfolio selection, which can be interpreted as solving the quadratic-programming problem of minimizing the variance of a normal variate subject to each prescribed mean value, easily can be generalized (in the special case of independently distributed investments) to the concave-programming problem of minimizing the “dispersion” of a stable Pareto-Lévy variate subject to each prescribed mean value. Some further generalizations involving interdependent distributions will also be presented here.