Polynomial goal programming (PGP) is a flexible method that allows investor preferences for different moments of the return distribution of financial assets to be included in the portfolio optimization. The method is intuitive and particularly suitable for incorporating investor preferences in...

The paper investigates whether the financial crisis did affect risk perceptions, and, hence, change structural parameters. By decomposing credit spreads of US corporate bonds into the contributions by credit, equity, and liquidity risk factors as well as structural change, the relative...