Traditionally, market imperfections are measured separately. In dealing with the impacts of market imperfections on a financial theory, financial researchers often modify the theory by incorporating one type of market imperfections into the theory, one by one, and then derive a new modified...

The constant proportion portfolio insurance (CPPI) achieves the advantage of simplicity due to its constant multiple. However, a dynamic multiple could improve the effectiveness of portfolio management. In this article, we provide a complete and detailed examination of the mechanism of variable...