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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92

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 3,991 (2,192)
Citation 104

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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
Pennsylvania State University, University Park, Duke University - Fuqua School of Business and Drexel University - Department of Decision Sciences
Downloads 913 (24,373)
Citation 18

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

Return Smoothing and its Implications for Performance Analysis of Hedge Funds

Journal of Finance and Data Science, Forthcoming
Number of pages: 36 Posted: 19 Mar 2009 Last Revised: 15 Jun 2018
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 287 (103,889)

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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 202 (148,345)
Citation 1

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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
Duke University - Fuqua School of Business, Pennsylvania State University, University Park and Drexel University - Department of Decision Sciences
Downloads 482 (57,248)

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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
Pennsylvania State University - Department of Mathematics, Barclays Capital, Pennsylvania State University, Pennsylvania State University, University Park and Department of Mathematics
Downloads 304 (98,106)

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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 168 (175,463)
Citation 2

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

7.

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
Pennsylvania State University, HEC Paris - Marketing, Pennsylvania State University, University Park and Pennsylvania State University, Smeal College of Business, Students
Downloads 82 (296,942)

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

8.

Systemwide Commonalities in Market Liquidity

Number of pages: 78 Posted: 31 May 2015
Mark D. Flood, John Liechty and Thomas Piontek
R. H. Smith School of Business, U. of Maryland, Pennsylvania State University, University Park and Government of the United States of America - Office of Financial Research
Downloads 62 (346,495)
Citation 1

Abstract:

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market liquidity, commonalities, Markov chain Monte Carlo

9.

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 43 (407,935)

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

10.

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 8 (586,760)

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11.

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

Abstract:

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

12.

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

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

13.

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

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preference analysis, dynamic models, bayesian analysis, sequential measurement

14.

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

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