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John Liechty

Pennsylvania State University, University Park

University Park

State College, PA 16802

United States

  • Pennsylvania State University, University Park

SCHOLARLY PAPERS

14

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CITATIONS
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in Total Papers Citations

65

Scholarly Papers (14)

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1.

Portfolio Selection with Higher Moments

Number of pages: 50 Posted: 29 Dec 2004 Last Revised: 16 Mar 2010
Campbell R. Harvey, John Liechty, Merrill W. Liechty and Peter Mueller
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 (2,000)
Citation 58

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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
John Liechty, Campbell R. Harvey and Merrill W. Liechty
Pennsylvania State University, University Park, Duke University - Fuqua School of Business and Drexel University - Department of Decision Sciences
Downloads 803 (22,662)
Citation 6

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

3.

Return Smoothing and its Implications for Performance Analysis of Hedge Funds

Downloads 436 ( 58,556)

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 242 (113,102)

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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 194 (140,550)

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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
Campbell R. Harvey, John Liechty and Merrill W. Liechty
Duke University - Fuqua School of Business, Pennsylvania State University, University Park and Drexel University - Department of Decision Sciences
Downloads 409 (53,971)
Citation 1

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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
Wen Cheng, Nick Costanzino, Anna L. Mazzucato, John Liechty and Victor Nistor
Pennsylvania State University - Department of Mathematics, Barclays Capital, Pennsylvania State University, Pennsylvania State University, University Park and Department of Mathematics
Downloads 249 (89,753)

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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 (162,803)

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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 (378,865)

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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 (337,718)

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market liquidity, commonalities, Markov chain Monte Carlo

9.

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

HEC Paris Research Paper No. MKG-2017-1223
Number of pages: 50 Posted: 16 Aug 2017 Last Revised: 16 Nov 2017
John R. Howell, Peter Ebbes, John Liechty and Porter Jenkins
Pennsylvania State University, HEC Paris - Marketing, Pennsylvania State University, University Park and Pennsylvania State University, Smeal College of Business, Students
Downloads 0 (368,571)

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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
University of Kentucky - Marketing and Supply Chain, Pennsylvania State University and Pennsylvania State University, University Park

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

11.

A Hierarchical Bayesian Procedure for Two-Mode Cluster Analysis

Psychometrika, Volume 69, Issue 4, pp 547-572, 2004
Posted: 11 Jun 2016
Wayne S. DeSarbo, Duncan K. H. Fong, John Liechty and M. Kim Saxton
Pennsylvania State University, Pennsylvania State University, Pennsylvania State University, University Park and Indiana University - Kelley School of Business - Department of Marketing

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

12.

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
Wayne S. DeSarbo, Duncan K. H. Fong and John Liechty
Pennsylvania State University, Pennsylvania State University and Pennsylvania State University, University Park
Downloads 0 (544,269)

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13.

Dynamic Models Incorporating Individual Heterogeneity: Utility Evolution in Conjoint Analysis

Marketing Science, Vol. 24, No. 2, pp. 285-293, 2005
Posted: 11 Jun 2016
John Liechty, Duncan K. H. Fong and Wayne S. DeSarbo
Pennsylvania State University, University Park, Pennsylvania State University and Pennsylvania State University

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

14.

Evolutionary Preference/Utility Functions: A Dynamic Perspective

Psychometrika, Volume 70, Issue 1, pp 179-202, 2005
Posted: 11 Jun 2016
Wayne S. DeSarbo, Duncan K. H. Fong, John Liechty and Jennifer Chang Coupland
Pennsylvania State University, Pennsylvania State University, Pennsylvania State University, University Park and Pennsylvania State University

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preference analysis, dynamic models, bayesian analysis, sequential measurement