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...

Fund managers highly prioritize selecting portfolios with a high Sharpe ratio. Traditionally, this task can be achieved by revising the objective function of the Markowitz mean-variance portfolio model and then resolving quadratic programming problems to obtain the maximum Sharpe ratio...