John Liechty

Pennsylvania State University, University Park

University Park

State College, PA 16802

United States

SCHOLARLY PAPERS

14

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CITATIONS
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Top 7,325

in Total Papers Citations

65

Scholarly Papers (14)

1.

Portfolio Selection with Higher Moments

Number of pages: 50 Posted: 29 Dec 2004 Last Revised: 16 Mar 2010
Duke University - Fuqua School of Business, Pennsylvania State University, University Park, Drexel University - Department of Decision Sciences and The University of Texas M. D. Anderson Cancer Center
Downloads 3,496 (1,868)
Citation 58

Abstract:

Bayesian decision problem, multivariate skewness, parameter uncertainty, optimal portfolios, utility function maximization, resampling, resampled portfolios, estimation error, mean-variance portfolios, expected returns, Markowitz optimization

2.

Bayes vs. Resampling: A Rematch

Journal of Investment Management, Vol. 6 No. 1, First Quarter 2008
Number of pages: 36 Posted: 26 Apr 2006
Pennsylvania State University, University Park, Duke University - Fuqua School of Business and Drexel University - Department of Decision Sciences
Downloads 803 (21,350)
Citation 6

Abstract:

Bayesian decision problem, parameter uncertainty, optimal portfolios, utility function maximization, resampling

Return Smoothing and its Implications for Performance Analysis of Hedge Funds

Number of pages: 36 Posted: 19 Mar 2009 Last Revised: 11 Nov 2012
John Liechty, Jing-Zhi Huang and Marco Rossi
Pennsylvania State University, University Park, Pennsylvania State University - University Park - Department of Finance and Texas A&M
Downloads 228 (110,778)

Abstract:

Hedge Funds, Smoothing, Performance Persistence, Bayesian Model

Return Smoothing and its Implications for Performance Analysis of Hedge Funds

Number of pages: 45 Posted: 18 Mar 2010 Last Revised: 21 Mar 2010
Jing-Zhi Huang, John Liechty and Marco Rossi
Pennsylvania State University - University Park - Department of Finance, Pennsylvania State University, University Park and Texas A&M
Downloads 189 (133,107)

Abstract:

Hedge funds, return smoothing, performance persistence, Bayesian analysis, time-varying betas

4.

Parameter Uncertainty in Asset Allocation

Number of pages: 46 Posted: 18 Dec 2009 Last Revised: 18 Mar 2010
Duke University - Fuqua School of Business, Pennsylvania State University, University Park and Drexel University - Department of Decision Sciences
Downloads 409 (51,873)
Citation 1

Abstract:

Bayesian decision problem, parameter uncertainty, optimal portfolios, utility function maximization, resampling

5.

Closed-Form Asymptotics for Local Volatility Models

Number of pages: 30 Posted: 12 Oct 2009 Last Revised: 23 Apr 2010
Pennsylvania State University - Department of Mathematics, Barclays Capital, Pennsylvania State University, Pennsylvania State University, University Park and Department of Mathematics
Downloads 249 (83,651)

Abstract:

derivative pricing, local volatility models, closed form solutions, asymptotics

6.

Attribute-Level Heterogeneity

Forthcoming in Management Science, HEC Paris Research Paper No. MKG-2014-1028
Number of pages: 25 Posted: 04 Oct 2010 Last Revised: 21 Jan 2014
Peter Ebbes, John Liechty and Rajdeep Grewal
HEC Paris - Marketing, Pennsylvania State University, University Park and University of North Carolina (UNC) at Chapel Hill - Kenan-Flagler Business School
Downloads 128 (153,080)

Abstract:

Segmentation, Mixture Models, Hierarchical Bayes, Conjoint Analysis, Reversible Jump MCMC

7.

Web Appendix for: Attribute-Level Heterogeneity

Management Science, Forthcoming, HEC Paris Research Paper No. MKG-2014-1029
Number of pages: 36 Posted: 22 Dec 2013 Last Revised: 19 Mar 2014
Peter Ebbes, John Liechty and Rajdeep Grewal
HEC Paris - Marketing, Pennsylvania State University, University Park and University of North Carolina (UNC) at Chapel Hill - Kenan-Flagler Business School
Downloads 26 (356,744)

Abstract:

heterogeneity, mixture models, hierarchical Bayes, conjoint analysis, reversible jump MCMC, segmentation

8.

Systemwide Commonalities in Market Liquidity

Number of pages: 78 Posted: 31 May 2015
Mark D. Flood, John Liechty and Thomas Piontek
Government of the United States of America - Office of Financial Research, Pennsylvania State University, University Park and Government of the United States of America - Office of Financial Research
Downloads 19 (340,724)

Abstract:

market liquidity, commonalities, Markov chain Monte Carlo

9.

Gremlins in the Data: Identifying the Information Content of Research Subjects

Number of pages: 50 Posted: 16 Aug 2017
Pennsylvania State University, HEC Paris - Marketing, Pennsylvania State University, University Park and Pennsylvania State University, Smeal College of Business, Students
Downloads 0 (517,197)

Abstract:

Multinomial Logit, Conjoint Analysis, Data Quality, Finite Mixture Models

10.

A Hierarchical Bayesian Multidimensional Scaling Methodology for Accommodating Both Structural and Preference Heterogeneity

Psychometrika, Vol. 73, No. 3, pp. 451-472, 2008
Posted: 16 Jun 2016
Joonwook Park, Wayne S. DeSarbo and John Liechty
Southern Methodist University (SMU), Pennsylvania State University and Pennsylvania State University, University Park

Abstract:

Bayesian multidimensional scaling, structural heterogeneity, preference heterogeneity, multidimensional unfolding model, multidimensional vector model, pharmaceutical marketing

11.

Dynamic Models Incorporating Individual Heterogeneity: Utility Evolution in Conjoint Analysis

Marketing Science, Vol. 24, No. 2, pp. 285-293, 2005
Posted: 11 Jun 2016
Pennsylvania State University, University Park, Pennsylvania State University and Pennsylvania State University

Abstract:

heterogeneity, empirical utility functions, dynamic models, Bayesian analysis, conjoint analysis, unbiased dynamic estimates

12.

Evolutionary Preference/Utility Functions: A Dynamic Perspective

Psychometrika, Volume 70, Issue 1, pp 179-202, 2005
Posted: 11 Jun 2016
Pennsylvania State University, Pennsylvania State University, Pennsylvania State University, University Park and Pennsylvania State University

Abstract:

preference analysis, dynamic models, bayesian analysis, sequential measurement

13.

A Hierarchical Bayesian Procedure for Two-Mode Cluster Analysis

Psychometrika, Volume 69, Issue 4, pp 547-572, 2004
Posted: 11 Jun 2016
Pennsylvania State University, Pennsylvania State University, Pennsylvania State University, University Park and Indiana University - Kelley School of Business - Department of Marketing

Abstract:

Cluster analysis, hierarchical Bayesian analysis, finite mixture models, consumer psychology

14.

Two-Mode Cluster Analysis via Hierarchical Bayes

Studies in Classification, Data Analysis, and Knowledge Organization, Chapter: Innovations in Classification, Data Science, and Information Systems, pp 19-29, 2003
Number of pages: 11 Posted: 11 Jun 2016
Pennsylvania State University, Pennsylvania State University and Pennsylvania State University, University Park
Downloads 0 (521,676)

Abstract: