In this dissertation, I develop three Essays on Asset Pricing and Portfolio Allocation. In Chapter 1, I fully relax the Perfect Information assumption in the context of the CAPM - heterogeneous and biased investors' beliefs on the assets' means, variances and correlations. Results show that, accounting for expectation errors, the equilibrium pricing relationship is four-dimensional, challenging the conventional one-dimensional perspective. In Chapter 2, I derive an Asset Pricing model based on supply-based firm revenue and cost idiosyncratic risks. Coupled with demand-based investors' preferences for sustainable assets, the outcome is a four-factor pricing relationship that can be used to analyze sustainability and expected returns through a joint supply/demand-side approach. In Chapter 3, I parametrize portfolio weights as non-parametric functions of observable asset characteristics. I show that accounting for non-linearities leads to clear out-performance with respect to the benchmark and more importantly with respect to the linear specification.