Merrill W. Liechty

Drexel University - Department of Decision Sciences

Assistant Professor of Decision Sciences

3141 Chestnut St

Philadelphia, PA 19104

United States

http://www.pages.drexel.edu/~mwl25/

  • Drexel University - Department of Decision Sciences

    • Email
    • Tel: 215-895-2459
    • Fax: 215-895-2907
SCHOLARLY PAPERS

4

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SSRN CITATIONS
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Top 15,654

in Total Papers Citations

19

CROSSREF CITATIONS

54

Scholarly Papers (4)

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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 4,169 (2,831)
Citation 98

Abstract:

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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 965 (29,651)
Citation 1

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

3.

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 511 (68,928)

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

4.

Revealed Preferences for Portfolio Selection - Does Skewness Matter?

Applied Economics Letters (2016)
Number of pages: 18 Posted: 07 Aug 2016 Last Revised: 25 Nov 2018
Merrill W. Liechty and Ümit Saglam
Drexel University - Department of Decision Sciences and East Tennessee State University
Downloads 136 (262,333)

Abstract:

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Market preferences, Mean-Variance-Skewness optimal portfolios, Bi-level optimization