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After completing this reading, you should be able to:
- Explain the essential features of illiquid markets.
- Explain the effects of market imperfections to illiquidity.
- Assess the effects of biases on the reported illiquid assets returns.
- Explain the Geltner-Ross-Zisler unsmoothing process and state its properties.
- Compare liquidity premiums across as well as within asset categories.
- Explain portfolio choice decisions on the incorporation of illiquid assets.