Moshe Levy

Education

• Ph.D. Economics and Physics, The Hebrew University, 1997

Publications

Book

• Levy, M., H. Levy, and S. Solomon, Microscopic Simulation of Financial Markets: From Investor Behavior to Market Phenomena, Academic Press, 2000.

Articles

• Levy H. and Levy M. 2020, "The Cost of Diversification Over Time, and a Simple Way to Improve Target-Date Funds, Journal of Banking and Finance, forthcoming.
• Diecidue, E., Levy, H., and Levy, M. 2019, "Probability Dominance", Review of Economics and Statistics, forthcoming.
• Levy M. 2019, "Aging Population, Retirement, and Risk-Taking: A Comment", Management Science, forthcoming.
• Levy M. 2019, "Stocks for the Log-Run and Constant Relative Risk Aversion Preferences” European Journal of Operational Research, forthcoming.
• Levy M. and R. Roll, 2018, "Generalized Performance Measures:Optimal Overweighing of Fees Relative to Sample Returns”, Journal of Portfolio Management,44(3)66-75.
• Levy M., 2017, Measuring Portfolio Performance: Sharpe, Alpha, or the Geometric Mean? Journal of Investment Management, 14, 3.
• Levy M. 2016, "It's Easy to Beat the Market”, Journal of Investment Management, 14, 3Q.
• Levy M. and R. Roll, 2016, "Seeking Alpha? It's a Bad Guideline for Portfolio Optimization”, Journal of Portfolio Management, 42(5)107-112.
• Levy, H., and M. Levy, 2015, "Keeping Up with the Joneses and Optimal Diversification”, Journal of Banking and Finance, 58, 29-38.
• Levy M. 2015, "An Evolutionary Explanation for Risk Aversion”, Journal of Economic Psychology, 46, 51-61.
• Levy M. and R. Roll, 2015, "Possible and Impossible Frontiers”, Critical Finance Review, 4, 139-148.
• Diecidue, E., Levy, M., & van de Ven, J. 2015, "No Aspiration to Win? An Experimental Test of the Aspiration Level Model”.Journal of Risk and Uncertainty, forthcoming.‏
• Levy M., and A. Rizansky, 2015, "The Pricing of Breakthrough Drugs: Theory and Policy Implications”, PLOS One,9(11): e113894.
• Levy M. and G. Kaplanski, "Portfolio Selection in a Two-Regime World”, European Journal of Operational Research, 242, 2015, 514-524.
• Levy H. and M. Levy, "For Better Performance: Constrain Portfolio Weights Differentially and Globally”, Journal of Investment Management, 12, 2014.
• Levy H. and M. Levy, "The Home Bias is Here to Stay", Journal of Banking and Finance, 47, 2014, 29-40.
• M. Levy and J. Goldenberg, "The Gravitational Law of Social Interaction", Physica A, 393, 2014, 418-426.
• Levy H. and M. Levy, "The Benefits of Differential Variance-Based Constraints in Portfolio Optimization", European Journal of Operational Research, 234, 2014, 372-381.
• Levy M., and A. Rizansky, "Market Failure in the Pharmaceutical Industry and How it can be Overcome: The CureShare Mechanism”, European Journal of Health Economics, 15, 2014, 143-156.
• Levy M., "On the Spurious Correlation Between Sample Betas and Mean Returns”, Applied Mathematical Finance, 19, 2012, 341-360.
• Levy M., "Co-Monotonicity: Towards a Utility Function Capturing Envy”, Economics Letters, 114, 2012, 16-19.
• Levy M., and A. Rizansky, "The Utility of Health and Wealth”, Journal of Health Economics, 31, 2012, 379–392.
• Levy M. and R. Roll, "A New Perspective on the Validity of the CAPM: Still Alive and Well”, Journal of Investment Management, October 2012.
• Levy, M. and Y. Ritov, "Mean-Variance Efficient Portfolios with Many Assets: 50% Short”, Quantitative Finance, 11, 2011, 1461-1471.
• Levy, M. "Scale-Free Human Migration and the Geography of Social Networks”, Physica A, 389, 2010, 4913-4917.
• Levy H., and M. Levy, "The Small Firm Effect: A Financial Mirage?”, Journal of Portfolio Management, 37, 2011, 129-138.
• Levy M. and R. Roll, "The Market Portfolio May be Mean-Variance Efficient After All”, Review of Financial Studies, 2010 23(6), 2464-2491.
• Levy, H. and M. Levy, "The Safety First Expected Utility Model: Experimental Evidence and Economic Implications”, Journal of Banking and Finance, 33, 2009, 1494-1506.
• Duchin, R. and M. Levy, "Disagreement, Portfolio Optimization and Excess Volatility”, Journal of Financial and Quantitative Analysis, 2010, 45, 3.
• Levy, M., "Loss Aversion and the Price of Risk”, Quantitative Finance, 2009, 1-14.
• Levy, M. and G. Benita, "Are Equally Likely Outcomes Perceived as Equally Likely?”, Journal of Behavioral Finance, 10, 2009, 128-137.
• Levy, M., "Gibrat's Law forAlmostAll Cities: A Comment” , American Economic Review, 99, 2009, 1672-1675.
• Levy, M., "Almost Stochastic Dominance and Stocks for the Long Run”, European Journal of Operational Research, 194, 2009, 250-257.
• Levy, M., "Stock Market Crashes as Social Phase Transitions”, Journal of Economic Dynamics and Control, 32, 2008, 137-155.
• Levy, M., "Conditions for a CAPM Equilibrium with Positive Prices”, Journal of Economic Theory, 137, 2007, 404-415.
• Klass, O., Biham, O., Levy, M., Malcai, O., and Solomon, S., "The Forbes 400, the Pareto Power Law, and Efficient Markets”, European Physical Journal B, 55, 2007, 143-147.
• Levy, M. and G. Benita, "Market Efficiency and the U-Shape Pattern of Return Autocorrelations”, inEconomic Theory Research Trends, F. Columbus (Ed.).
• Levy, M., G. Benita and H. Levy, "Financial Disclosure and Regulation: A Portfolio Approach”, Journal of Portfolio Management, 2006.
• Levy, M., "Agent Based Computational Economics”, inThe Encyclopedia of Complexity and System Science, Springer, 2008.
• Klass, O., Biham, O., Levy, M., Malcai, O., and Solomon, S., "The Forbes 400 and the Pareto Wealth Distribution”, Economics Letters, 90, 2, 2006. 0.34; 23/165.
• Levy, M., H. Levy and G. Benita, "Capital Asset Prices with Heterogeneous Beliefs”, Journal of Business, 32, 2006, 107-115.
• Levy, M., "Mutual Fund Ranking and the Investment Horizon”, Finance Letters.
• Levy, M., "Social Phase Transitions”, Journal of Economic Behavior and Organization, 57, 2005. 71-87.
• Levy, M., "Is Risk-Aversion Hereditary?”, Journal of Mathematical Economics, 41, 1, 2005, 157-168.
• Levy, H., M. Levy and N. Alisof, "'Homemade Leverage': Theory versus Experimental Evidence”, Journal of Portfolio Management, 31, 2004, 84-93.
• Levy H., and M. Levy, "Prospect Theory and Mean-Variance Analysis”, Review of Financial Studies, 17, 4, 2004, 1015-1041.
• Levy, M., "Are Rich People Smarter?”, Journal of Economic Theory, 110, 1, 2003, 42-64.
• Levy, M., "Market Efficiency, the Pareto Wealth Distribution, and the Lévy Distribution of Stock Returns”, inThe Economy as an Evolving Complex SystemIII, S. Durlauf and L. Blume (Eds.), Oxford University Press, 2005.
• Levy, M. and H. Levy, "Investment Talent and the Pareto Wealth Distribution: Theoretical and experimental Analysis”, Review of Economics and Statistics, 85, 3, 2003, 709-725.
• Levy, H., M. Levy and A. Edry, "A Negative Equilibrium Interest Rate”, Financial Analyst Journal, April 2003, 97-109.
• Solomon, S. and M. Levy, "Pioneers on a New Continent: Physics and Economics”, Quantitative Finance, 3, 1, 2003, 12-16.
• Levy, M. and H. Levy, "Prospect Theory: Much Ado About Nothing?”, Management Science, 48, 10, 2002, 1334-1349.
• Levy, H. and M. Levy, ”Experimental Test of the Prospect Theory Value Function”, Organizational Behavior and Human Decision Processes,89,2002, 1058-1081.
• Levy, H. and M. Levy, "Arrow-Pratt Risk Aversion, Risk Premium, and Decision Weights”, Journal of Risk and Uncertainty, 25,3, 2002, 265-290.
• Levy, M. and H. Levy, "Testing for Risk Aversion: A Stochastic Dominance Approach”, Economics Letters71, 2, 2001, 233-240.
• Biham, O., O. Malcai, M. Levy and S. Solomon, "Generic Emergence of Power Law Distributions and Lévy-stable Intermittent Fluctuations in Discrete Logistic Systems”, Physical Review E58, 1998, 1352-1358.
• Levy, M., and S. Solomon, "New Evidence for the Power-Law Distribution of Wealth", Physica A, 242, 1997, 90-94.
• Levy, M., and H. Levy, "The Danger of Assuming Homogeneous Expectations", The Financial Analysts Journal, May 1996, 65-70.
• Levy, M., Persky, N., and S. Solomon, " The Complex Dynamics of a Simple Stock Market Model", International Journal of High Speed Computing, 8, 1996, 93-113.
• Levy, M., and S. Solomon, "Dynamical Explanation for the Emergence of Power Law in a Stock Market Model", International Journal of Modern Physics C, 7, 1, 1996, 65-72.
• Levy, M., and S. Solomon, "Power Laws are Logarithmic Boltzmann Laws", International Journal of Modern Physics C, 7, 4, 1996, 595-601.
• Solomon, S. and M. Levy, "Spontaneous Scaling Emergence in Generic Stochastic Systems", International Journal of Modern Physics C, 7, 5, 1996, 745-751.
• Levy, M., H. Levy and S. Solomon, "Simulation of the Stock Market: The Effects of Microscopic persity", Journal de Physique I, 5, 1995, 1087-1107.
• Levy, M., H. Levy and S. Solomon, "A Microscopic Model of the Stock Market: Cycles, Booms, and Crashes", Economics Letters, 45, 1994, 103-111.