This paper incorporates model ambiguity into the traditional hedge fund models to explore how ambiguity influences the manager's investment strategy, risk attitude and compensation structure. We find the manager is ambiguity aversion. Model ambiguity enhances her level of endogenous risk...

Using data from the Lipper TASS hedge fund database over 1994-2012, we examine the role of liquidity risk in explaining the relationship between asset size and hedge fund performance. While a significant negative size-performance relationship exists for all hedge funds, once we stratify our...