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...

Based on the Partial Distribution (Feng Dai, 2001), a new model to price an asset (MPA) is given. Going a step further, this paper puts forward the Multivariate Partial Distribution (MPD) for the first time. By use of MPD, we could gain a new kind of model for pricing the group assets (MPGA), in...

Using data from the Lipper/TASS hedge fund database over the period 1994-2011, we examine the impact of liquidity risk on the relationship between size and performance for funds of hedge funds (FOFs). We first confirm a significant positive size effect for FOFs. More importantly, once liquidity...