A portfolio allocation problem relies upon the decision process to establish how resources mustbe allocated among different possible investments. Investors are interested in gaining as much aspossible from their investment, but at the same time, they are concerned with the risks they have toface. Investors aim to maximize their returns without exceeding a certain level of risk. Moreover,this behavior has to be mathematically modeled, resorting to the optimal control theory and themaximization of expected utility. This paper reviews the literature on portfolio allocation, to givea complete picture of what has been done, as well as, possible contributions for future research.