Most socially responsible investment funds combine a sustainability objective with a tracking error constraint. We characterize the impact of a sustainability constraint on the mean-tracking error efficient frontier and illustrate this on a universe of US stocks for the period 2003–2010.

We use extreme value theory to analyse the tails of a momentum strategy’s return distribution. The asymmetry between the fat left tail and thin right tail strongly reduces a momentum strategy’s prospective utility levels.

In a dynamic optimisation framework we show that the optimal tax evasion can be either a positive or a negative function of the tax rate according to the form of the fine to be paid when evasion is detected.

We study optimal dynamic compliance decisions in an uncertain environment. Contrary to the static literature, greater uncertainty affects consumption, not the optimal tax evasion rule. Thus, audit and sanctions rather than fiscal uncertainty should be used to control tax evasion.