This study presents a hedge fund portfolio choice model for an investor facing ambiguity. In the empirical section, we measure ambiguity as the cross-sectional dispersion in Industrial Production growth and in stock market return forecasts, and we construct the systematic ambiguity factors from...

This chapter provides a perspective on the rapidly developing literature on investment performance evaluation. I use the stochastic discount factor approach to present and critique current performance measurement techniques in a unified setting. I offer a number of suggestions to improve...

Chapter 1: Beyond the Surface: In-depth Perspectives on Liquidity and Risk Frontiers -- Chapter 2: Unlocking the Microstructure of Liquidity Risk: Understanding Interactions with other Financial Risks and Best Practices in Oversight and Governance -- Chapter 3: Crises to Opportunities:...