Merrill Liechty

Candid photo of Merrill Liechty

Areas of Expertise

  • Bayesian Statistics
  • Higher Moment Estimation
  • Markov Chain Monte Carlo

Selected Works

Articles

Liechty, Merrill, and Saglam, Umit, Revealed Preferences for Portfolio Selection - Does Skewness Matter?. Applied Economic Letters 24 (Year 2017): 968-971.

Adenso-Diaz, B., Mena, Carlos H., Garcia, Santiago, and Liechty, Merrill, The Impact of Supply Chain Design Characteristics on Network Reliability. Supply Chain Management: An International Journal 17 (Mar 2012):

Liechty, Merrill, and Tibbits, Matthew, Multivariate Sufficient Statistics Using Kronecker Products. Statistics and Computing 20 (Jul 2010): 335-341.

Liechty, Merrill, and Lu, Jingjing, Multivariate Normal Slice Sampling. Journal of Computational and Graphical Statistics 19 (Jun 2010): 281-294.

Liechty, Merrill, Liechty, John C., and Harvey, Campbell R., Portfolio Selection with Higher Moments. Quantitative Finance 10 (May 2010): 469-485.

Liechty, Merrill, Liechty, John C., and Mueller, Peter, The Shadow Prior. Journal of Computational and Graphical Statistics 18 (Year 2009): 368–383.

Liechty, Merrill, Harvey, Campbell R., and Liechty, John C., Bayes vs. Resampling: A Rematch. Journal of Investment Management 6 (Mar 2008): 29-45.

Liechty, Merrill, Liechty, John C., and Mueller, Peter, Bayesian Correlation Estimation. Biometrika 91 (Mar 2004): 1-14.

Chapters

Liechty, Merrill, Liechty, John C., and Harvey, Campbell R., “Parameter Uncertainty and Asset Allocation.” The [Oxford] Handbook of Quantitative Asset Management, Ed. Scherer, B., and Winston, K. Oxford: Oxford University Press, (2012):

Liechty, Merrill, “MCMC for Constrained Parameter and Sample Spaces.” Frontier of Statistical Decision Making and Bayesian Analysis, New York: Springer, (2009):

Presented Research

Liechty, Merrill, Liechty, John C., Lopes, Hedibert, and Harvey, Campbell R., Bayesian Grouped Factor Models, Decision Sciences Institute 2009: New Orleans, LA,

Liechty, Merrill, Baby Reversible Jump for Model Choice, Sixth IMS-ISBA Joint Meeting Bayes Comp at MCMSKI V: Lenzerheide, Switzerland, (Jan 2016):

Liechty, Merrill, and Liechty, John C., Bayesian Grouped Factor Models, Office of Financial Research, US Treasury: Washington, DC, (Apr 2014):

Liechty, Merrill, Multivariate Sufficient Statistics Using Kronec…, MCMSki IV: Chamonix, France, (Jan 2014):

Liechty, Merrill, Revealed Preferences, ISBA 2012 World Meeting: Kyoto, Japan, (Jun 2012):

Liechty, Merrill, Revealed Preferences: Does Skewness Matter?, MCMSki 3 - Fourth International IMS/ISBA Joint Meeting: Park City, UT, (Jan 2011):

Liechty, Merrill, Harvey, Campbell R., Liechty, John C., and Lopes, Hedibert, Bayesian Grouped Factor Models, Epidemiology and Biostatistics seminar at Drexel University: Philadelphia, PA, (Dec 2010):

Liechty, Merrill, Harvey, Campbell R., Liechty, John C., and Lopes, Hedibert, Bayesian Grouped Factor Models, Statistics Seminar at George Washington University: Washington, DC, (Oct 2010):

Liechty, Merrill, Liechty, John C., Lopes, Hedibert, and Harvey, Campbell R., Bayesian Grouped Factor Models, Frontiers of Statistical Decision Making and Bayesian Analysis: San Antonio, TX, (Mar 2010):

Liechty, Merrill, Liechty, John C., Lopes, Hedibert, and Harvey, Campbell R., Bayesian Grouped Factor Models, Statistics Seminar at Pennsylvania State University: State College, PA, (Mar 2009):

Liechty, Merrill, Liechty, John C., Lopes, Hedibert, and Harvey, Campbell R., Bayesian Grouped Factor Models, Statistics Seminar at University of Chicago: Chicago, IL, (Mar 2009):

Liechty, Merrill, and Lu, Jingjing, Multivariate Normal Slice Sampling, International Society for Bayesian Analysis: 9th World Meeting: Hamilton Island, Queensland, AU, (Jul 2008):

Harvey, Campbell R., Liechty, John C., Liechty, Merrill, and Muller, Peter, Portfolio Selection with Higher Moments: A Bayesian Decision Theoretic Approach, Statistics Seminar at the Fox School of Business, Temple University: Philadelphia, PA, (Nov 2006):

Harvey, Campbell R., Liechty, John C., Liechty, Merrill, and Muller, Peter, Portfolio Selection with Higher Moments, Eighth Annual Financial Econometrics Conference: Waterloo, Onatria, Canada, (Mar 2006):

Liechty, John, Liechty, Merrill, and Muller, Peter, Bayesian Correlation Estimation and Applications - Grouped Factor Models, Joint Statistical Meetings: Minneapolis, MN, (Aug 2005):

Harvey, Campbell, Liechty, John, Liechty, Merrill, and Muller, Peter, Portfolio Selection with Higher Moments: A Bayesian Decision Theoretic Approach, Statistics Seminar at Wharton School of Business: Philadelphia, PA, (Mar 2005):

Proceedings

Liechty, Merrill, and Lu, Jingjing, COMPARISON BETWEEN NONLINEAR PROGRAMMING OPTIMIZATION AND SIMULATED ANNEALING (SA) ALGORITHM UNDER HIGHER MOMENTS BAYESIAN PORTFOLIO SELECTION FRAMEWORK, Winter Simulation Conference Jun 2007. (Dec 2007):

Works in Progress

Multivariate Student T Slice Sampling

Bayesian Grouped Factor Models

Education

BS Mathematics - Brigham Young 1998
MS Statistics - Duke University 2001
PhD Statistics - Duke University 2003

Professional Experience

Corporate-Duane Morris LLP Statistical Consultant for Cruz v. TD Bank Philadelphia PA Apr 2016 - Jul 2016
Corporate-Zeichner Ellman & Krause LLP Statistical consultant Greenwich Ct May 2017 -

Awards

2015 Fellow of the Institute for Strategic Leadership (Drexel University, LeBow College of Business)
2004-2005 Mini-Grant (LeBow College Center of Teaching Excellence)

Media Mentions

Why Winning the Powerball Jackpot Is Harder Than Ever

via The Wall Street Journal

Clinical professor of Decision Sciences Merrill Liechty helps explain how the odds of winning the Powerball jackpot have gotten even slimmer in recent years.