An asset pricing model is developed in which price of consumption good is unknown and investors have a general time and state nonseparable preference. It is shown that the expected return on an asset is determined by a weighted average of market risk, inflation risk and consumption risk. The sum...

We propose an international asset allocation model to investigate whether home currency concern has impacts on home bias puzzle. Domestic investors choosing their international portfolios depend on home currency premium and thus will behave in home bias scenarios. Besides, the optimal portfolio...