• 1 Introduction
  • 2 Literature Review
  • 3 The Model
  • 3.1 The Dogmatist
  • 3.2 The Agnostic
  • 3.3 The Skeptic
  • 3.4 Optimal Portfolios Formation
  • 3.5 Performance Evaluation Model
  • 3.6 Liquidity Risk Factors
  • 4 Data
  • 5 Empirical Results
  • 5.1 Descriptive Statistics
  • 5.2 Performance Evaluation Results
  • 5.3 Robustness Tests
  • 5.4 Hedge Fund Return Smoothing
  • 5.5 Financial Crises and the Effect of Liquidity Risk
  • 6 Conclusion
  • References
  • A Appendix