Moshe Levy

Hebrew University of Jerusalem - Jerusalem School of Business Administration

Lecturer

Mount Scopus

Jerusalem, 91905

Israel

SCHOLARLY PAPERS

27

DOWNLOADS
Rank 19,823

SSRN RANKINGS

Top 19,823

in Total Papers Downloads

3,826

SSRN CITATIONS
Rank 25,662

SSRN RANKINGS

Top 25,662

in Total Papers Citations

14

CROSSREF CITATIONS

22

Scholarly Papers (27)

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 778 (47,416)

Abstract:

Loading...

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
Boston College - Carroll School of Management and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 346 (127,714)
Citation 1

Abstract:

Loading...

heterogeneous beliefs, portfolio optimization, excess volatility

3.

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 296 (150,635)

Abstract:

Loading...

market failure, pharmaceutical industry, utility of health

4.

Portfolio Optimization and the Distribution of Firm Size

Number of pages: 30 Posted: 16 Jun 2008
Ran Duchin and Moshe Levy
Boston College - Carroll School of Management and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 264 (169,215)

Abstract:

Loading...

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

5.

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 244 (182,816)

Abstract:

Loading...

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

6.

The Deadweight Loss of Active Management

Number of pages: 40 Posted: 25 Oct 2021
Moshe Levy
Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 227 (195,907)

Abstract:

Loading...

Mutual funds, active management, Sharpe ratio, management fees, investment performance.

7.

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 210 (210,680)
Citation 3

Abstract:

Loading...

Regimes, stochastic dominance, mean-variance, portfolio selection

8.

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 208 (212,505)
Citation 5

Abstract:

Loading...

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

9.

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

Number of pages: 56 Posted: 21 Jul 2018 Last Revised: 29 Jan 2020
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 161 (265,465)

Abstract:

Loading...

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

10.

Stocks versus Bonds and the Investment Horizon

Number of pages: 40 Posted: 03 Oct 2019 Last Revised: 28 Jan 2020
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 157 (270,959)
Citation 1

Abstract:

Loading...

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

11.

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 145 (288,928)

Abstract:

Loading...

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

12.

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 141 (297,023)
Citation 6

Abstract:

Loading...

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

13.

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 139 (298,695)
Citation 3

Abstract:

Loading...

home-bias, international diversification, portfolio optimization, correlation

14.

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 128 (317,978)

Abstract:

Loading...

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

15.

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 89 (406,204)
Citation 1

Abstract:

Loading...

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

16.

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 83 (423,811)

Abstract:

Loading...

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

17.

Mutual Fund Selection and the Investment Horizon

Number of pages: 23 Posted: 02 May 2022
Moshe Levy
Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 80 (432,932)

Abstract:

Loading...

investment horizon, mutual funds, Sharpe ratio, stochastic dominance, efficient investment sets, prospect theory.

18.

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 79 (436,065)

Abstract:

Loading...

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

19.

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 51 (542,342)

Abstract:

Loading...

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

20.

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

Abstract:

Loading...

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

21.

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

Abstract:

Loading...

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

22.

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

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

Abstract:

Loading...

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

23.

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

Abstract:

Loading...

passive management, market portfolio, index funds, portfolio performance

24.

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

Abstract:

Loading...

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

25.

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

Abstract:

Loading...

Mean variance efficiency, CAPM, portfolio optimization, beta

26.

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

Abstract:

Loading...

G110, G120

27.

A Negative Equilibrium Interest Rate

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

Abstract:

Loading...

Investment Theory: portfolio theory, Portfolio Management: asset allocation