Some pubs frown on it. The bigger one's at least. But you can link to your website in your bio and in your story. Medium only frowns on affiliate links you don't disclose. For example if you use an affiliate link you may say in parenthesis (this is an affiliate link).

Again, you just have to ask the pub editor or owner if it is okay to include a link to your site in your article. If you self-publish your story, you can add your link, no problem.