New perspectives on consumption-based asset pricing models have recently been argued to provide powerful insights for explaining the cross-sectional variation of expected returns. In this paper, we employ both Spanish and U.S. capital markets data to present further evidence on these new...

We consider an agent who invests in a stock and a money market in order to maximize the asymptotic behaviour of expected utility of the portfolio market price in the presence of proportional transaction costs. The assumption that the portfolio market price is a geometric Brownian motion and the...

In this paper we analyse the effects arising from imposing a Value-at-Risk constraint in an agent's portfolio selection problem. The financial market is incomplete and consists of multiple risky assets (stocks) plus a risk-free asset. The stocks are modelled as exponential Brownian motions with...