Andrew Ang identifies four ways to harvest the illiquidity premium:

1. Passive allocations to illiquid asset classes.
2. Holding less liquid securities within asset classes.
3. Market making at the individual security level.
4. Dynamic rebalancing at the aggregate level. Among these, he points out that dynamic rebalancing at the aggregate level (portfolio level) is generally the simplest to implement—as it involves buying assets that have fallen in value (often during periods of market stress when liquidity is scarce and illiquidity premiums are high) and selling those that have risen—and it has the greatest impact on overall portfolio returns.