Moshe Levy

Hebrew University of Jerusalem - Jerusalem School of Business Administration

Lecturer

Mount Scopus

Jerusalem, 91905

Israel

SCHOLARLY PAPERS

25

DOWNLOADS
Rank 17,879

SSRN RANKINGS

Top 17,879

in Total Papers Downloads

2,772

SSRN CITATIONS
Rank 25,811

SSRN RANKINGS

Top 25,811

in Total Papers Citations

6

CROSSREF CITATIONS

22

Scholarly Papers (25)

1.

90 Cents of Every 'Pay-For-Performance' Dollar Are Paid for Luck

Number of pages: 28 Posted: 13 Sep 2016
Moshe Levy
Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 735 (34,589)

Abstract:

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Executive Compensation, Pay for Performance, Pay for Luck, Employee Stock Options, Managerial Talent, Incentives

2.

Disagreement, Portfolio Optimization, and Excess Volatility

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 28 Posted: 16 Jun 2008 Last Revised: 27 Oct 2009
Ran Duchin and Moshe Levy
University of Washington - Michael G. Foster School of Business and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 324 (95,721)

Abstract:

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heterogeneous beliefs, portfolio optimization, excess volatility

3.

Portfolio Optimization and the Distribution of Firm Size

Number of pages: 30 Posted: 16 Jun 2008
Ran Duchin and Moshe Levy
University of Washington - Michael G. Foster School of Business and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 240 (131,571)

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firm size, portfolio optimization, mean-variance analysis, lognormal distribution, Gibrat process, CAPM

4.

Market Failure in the Pharmaceutical Industry and How it Can Be Overcome: The CureShare Mechanism

Number of pages: 29 Posted: 30 Oct 2008
Moshe Levy and Adi Rizansky Nir
Hebrew University of Jerusalem - Jerusalem School of Business Administration and affiliation not provided to SSRN
Downloads 239 (132,117)

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market failure, pharmaceutical industry, utility of health

5.

Portfolio Selection in a Two-Regime World

European Journal of Operational Research, volume 242, (2015), 514-524
Number of pages: 33 Posted: 07 May 2016
Moshe Levy and Guy Kaplanski
Hebrew University of Jerusalem - Jerusalem School of Business Administration and Bar-Ilan University - Graduate School of Business Administration
Downloads 188 (165,802)

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Regimes, stochastic dominance, mean-variance, portfolio selection

6.

Option Pricing with the Logistic Return Distribution

Number of pages: 30 Posted: 24 Sep 2014
Moshe Levy and Haim Levy
Hebrew University of Jerusalem - Jerusalem School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 168 (183,244)

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option pricing, distribution of returns, logistic distribution, holding period.

7.

The Benefits of Differential Variance-Based Constraints in Portfolio Optimization

European Journal of Operational Research, 2013
Number of pages: 31 Posted: 28 Apr 2013
Haim Levy and Moshe Levy
Hebrew University of Jerusalem - Jerusalem School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 168 (183,244)
Citation 2

Abstract:

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mean-variance analysis, portfolio optimization, portfolio constraints, estimation error

8.

Why Does the Home Bias Persist?

Number of pages: 32 Posted: 29 Jun 2013
Haim Levy and Moshe Levy
Hebrew University of Jerusalem - Jerusalem School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 121 (238,859)
Citation 2

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home-bias, international diversification, portfolio optimization, correlation

9.

The Marginal Cost of Capital: A Portfolio Theory Perspective

Number of pages: 45 Posted: 25 Feb 2016
Haim Levy and Moshe Levy
Hebrew University of Jerusalem - Jerusalem School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 108 (259,227)

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Average cost of capital, marginal cost of capital, portfolio theory, CAPM, GCAPM, segmented market model, seasoned equity offering, IPO, stock repurchase

10.

Prospect Theory, Constant Relevant Risk Aversion, and the Investment Horizon

Number of pages: 59 Posted: 23 Oct 2017 Last Revised: 22 Apr 2019
Haim Levy and Moshe Levy
Hebrew University of Jerusalem - Jerusalem School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 91 (290,625)
Citation 5

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Prospect Theory, constant relative risk aversion, asset allocation, investment horizon, equity premium puzzle

11.

The Cost of Changing Asset Allocation Over Time, and a Simple Way to Improve Target-Date Funds

Number of pages: 45 Posted: 21 Jul 2018 Last Revised: 22 Jul 2019
Haim Levy and Moshe Levy
Hebrew University of Jerusalem - Jerusalem School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 83 (307,841)

Abstract:

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diversification across time, diversification throughout time, lifecycle investing, target-date fund, glide-path, market timing, return chasing, stochastic dominance

12.

Evolution of Risk Aversion: The 'Having Descendants Forever' Approach

Number of pages: 36 Posted: 08 Oct 2010
Moshe Levy
Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 82 (310,063)
Citation 1

Abstract:

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Evolution, preference, having descendants forever, constant relative risk aversion, loss aversion

13.

Under-Diversification and the Size Effect

Number of pages: 44 Posted: 23 May 2019
Moshe Levy and Haim Levy
Hebrew University of Jerusalem - Jerusalem School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 60 (367,841)

Abstract:

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Size anomaly, small firm effect, segmented-market model, Generalized CAPM, generalized beta

14.

Probability Dominance

INSEAD Working Paper No. 2018/49/DSC
Number of pages: 46 Posted: 14 Sep 2018 Last Revised: 17 Oct 2018
Enrico Diecidue, Haim Levy and Moshe Levy
INSEAD – Decision Sciences, Hebrew University of Jerusalem - Jerusalem School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 58 (373,935)

Abstract:

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probability dominance, regret aversion, risk aversion, prospect theory, stochastic dominance, winner-take-all

15.

The Continuous-Time CAPM with Non-Risk-Averse Investors

Number of pages: 10 Posted: 28 Aug 2018
Moshe Levy
Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 42 (429,576)

Abstract:

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CAPM, Stochastic Dominance, Prospect Theory, Aspiration Level, Investment Horizon

16.

Stocks versus Bonds and the Investment Horizon

Number of pages: 31 Posted: 03 Oct 2019 Last Revised: 07 Oct 2019
Haim Levy and Moshe Levy
Hebrew University of Jerusalem - Jerusalem School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 34 (463,133)

Abstract:

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stocks versus bonds, investment horizon, First-degree Stochastic Dominance with a Riskless asset (FSDR)

17.

Stocks for the Log-Run and CRRA Preferences

Number of pages: 17 Posted: 04 Aug 2018
Moshe Levy
Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 31 (477,076)

Abstract:

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Stocks for the Long-Run, CRRA Preferences, Almost Stochastic Dominance, CAPM

18.

Seeking Alpha? It's a Bad Guideline for Portfolio Optimization

Posted: 20 May 2019
Moshe Levy and Richard Roll
Hebrew University of Jerusalem - Jerusalem School of Business Administration and California Institute of Technology

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Alpha, portfolio performance, portfolio optimization, mean-variance analysis

19.

Generalized Performance Measures: Optimal Overweighing of Fees Relative to Sample Returns

Posted: 05 Aug 2017
Moshe Levy and Richard Roll
Hebrew University of Jerusalem - Jerusalem School of Business Administration and California Institute of Technology

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Mutual Fund Performance, Alpha, Sharpe Ratio, Geometric Mean, Shrinkage, Fees

20.

Measuring Portfolio Performance: Sharpe, Alpha, or the Geometric Mean?

Posted: 13 Sep 2016
Moshe Levy
Hebrew University of Jerusalem - Jerusalem School of Business Administration

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Portfolio Performance, Sharpe Ratio, Alpha, Geometric Mean, Investment Horizon

21.

It's Easy to Beat the Market

Journal of Investment Management, 3rd Q, 2016, Forthcoming
Posted: 25 Feb 2016
Moshe Levy
Hebrew University of Jerusalem - Jerusalem School of Business Administration

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passive management, market portfolio, index funds, portfolio performance

22.

For Better Performance: Constrain Portfolio Weights Differentially and Globally

Journal of Investment Management (JOIM), Fourth Quarter 2014
Posted: 15 Nov 2014
Moshe Levy and Haim Levy
Hebrew University of Jerusalem - Jerusalem School of Business Administration and Independent

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Mean–variance analysis, portfolio optimization, portfolio constraints, estimation error

23.

A New Perspective on the Validity of the CAPM: Still Alive and Well

Journal of Investment Management (JOIM), Third Quarter 2012
Posted: 13 Oct 2012
Moshe Levy and Richard Roll
Hebrew University of Jerusalem - Jerusalem School of Business Administration and California Institute of Technology

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Mean variance efficiency, CAPM, portfolio optimization, beta

24.

The Market Portfolio May Be Mean/Variance Efficient after All

The Review of Financial Studies, Vol. 23, Issue 6, pp. 2464-2491, 2010
Posted: 17 May 2010
Moshe Levy and Richard Roll
Hebrew University of Jerusalem - Jerusalem School of Business Administration and California Institute of Technology

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G110, G120

25.

A Negative Equilibrium Interest Rate

Financial Analysts Journal, Vol. 59, No. 2, March/April 2003
Posted: 06 May 2003
Moshe Levy, Haim Levy and Avi Edry
Hebrew University of Jerusalem - Jerusalem School of Business Administration, Hebrew University of Jerusalem - Jerusalem School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration

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Investment Theory: portfolio theory, Portfolio Management: asset allocation