Details about Moshe Shiki Levy

Access statistics for papers by Moshe Shiki Levy.

Last updated 2021-03-06. Update your information in the RePEc Author Service.

Short-id: ple806

Working Papers

2001

1. Portfolio Optimization with Many Assets: The Importance of Short-Selling
   University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA View citations (4)

2000

2. Market Ecology, Pareto Wealth Distribution and Leptokurtic Returns in Microscopic Simulation of the LLS Stock Market Model
   Papers, arXiv.org View citations (3)

Journal Articles

2021

1. The cost of diversification over time, and a simple way to improve target-date funds
   Journal of Banking & Finance, 2021, 122, (C) View citations (5)

2020

2. Probability Dominance
   The Review of Economics and Statistics, 2020, 102, (5), 1006-1020 View citations (1)

2019

3. Stocks for the log-run and constant relative risk aversion preferences
   European Journal of Operational Research, 2019, 277, (3), 1163-1168 View citations (4)

2015

4. (Im)Possible Frontiers: A Comment
   Critical Finance Review, 2015, 4, (1), 139-148 View citations (2)
5. An evolutionary explanation for risk aversion
   Journal of Economic Psychology, 2015, 46, (C), 51-61 View citations (11)
6. Keeping up with the Joneses and optimal diversification
   Journal of Banking & Finance, 2015, 58, (C), 29-38 View citations (2)
7. No aspiration to win? An experimental test of the aspiration level model
   Journal of Risk and Uncertainty, 2015, 51, (3), 245-266 View citations (19)
8. Portfolio selection in a two-regime world
   European Journal of Operational Research, 2015, 242, (2), 514-524 View citations (11)

2014

9. Market failure in the pharmaceutical industry and how it can be overcome: the CureShare mechanism
   The European Journal of Health Economics, 2014, 15, (2), 143-156
10. The Pricing of Breakthrough Drugs: Theory and Policy Implications
    PLOS ONE, 2014, 9, (11), 1-12 View citations (1)
11. The benefits of differential variance-based constraints in portfolio optimization
    European Journal of Operational Research, 2014, 234, (2), 372-381 View citations (31)
12. The gravitational law of social interaction
    Physica A: Statistical Mechanics and its Applications, 2014, 393, (C), 418-426 View citations (9)
13. The home bias is here to stay
    Journal of Banking & Finance, 2014, 47, (C), 29-40 View citations (40)

2012

14. Co-monotonicity: Toward a utility function capturing envy
    Economics Letters, 2012, 114, (1), 16-19
15. On the Spurious Correlation Between Sample Betas and Mean Returns
    Applied Mathematical Finance, 2012, 19, (4), 341-360
16. The utility of health and wealth
    Journal of Health Economics, 2012, 31, (2), 379-392 View citations (11)

2011

17. Mean–variance efficient portfolios with many assets: 50% short
    Quantitative Finance, 2011, 11, (10), 1461-1471 View citations (2)

2010

18. Disagreement, Portfolio Optimization, and Excess Volatility
    Journal of Financial and Quantitative Analysis, 2010, 45, (3), 623-640 View citations (6)
19. Loss aversion and the price of risk
    Quantitative Finance, 2010, 10, (9), 1009-1022 View citations (4)
20. Scale-free human migration and the geography of social networks
    Physica A: Statistical Mechanics and its Applications, 2010, 389, (21), 4913-4917 View citations (10)
21. The Market Portfolio May Be Mean/Variance Efficient After All
    The Review of Financial Studies, 2010, 23, (6), 2464-2491 View citations (32)

2009

22. Almost Stochastic Dominance and stocks for the long run
    European Journal of Operational Research, 2009, 194, (1), 250-257 View citations (26)
23. Gibrat's Law for (All) Cities: Comment
    American Economic Review, 2009, 99, (4), 1672-75 View citations (67)
24. The safety first expected utility model: Experimental evidence and economic implications
    Journal of Banking & Finance, 2009, 33, (8), 1494-1506 View citations (38)

2008

25. Stock market crashes as social phase transitions
    Journal of Economic Dynamics and Control, 2008, 32, (1), 137-155 View citations (23)

2007

26. Conditions for a CAPM equilibrium with positive prices
    Journal of Economic Theory, 2007, 137, (1), 404-415 View citations (7)
27. The Forbes 400, the Pareto power-law and efficient markets
    The European Physical Journal B: Condensed Matter and Complex Systems, 2007, 55, (2), 143-147 View citations (23)

2006

28. The Forbes 400 and the Pareto wealth distribution
    Economics Letters, 2006, 90, (2), 290-295 View citations (97)

2005

29. Is risk-aversion hereditary?
    Journal of Mathematical Economics, 2005, 41, (1-2), 157-168 View citations (7)
30. Social phase transitions
    Journal of Economic Behavior & Organization, 2005, 57, (1), 71-87 View citations (11)

2003

31. Are rich people smarter?
    Journal of Economic Theory, 2003, 110, (1), 42-64 View citations (37)
32. Investment Talent and the Pareto Wealth Distribution: Theoretical and Experimental Analysis
    The Review of Economics and Statistics, 2003, 85, (3), 709-725 View citations (31)

2002

33. Arrow-Pratt Risk Aversion, Risk Premium and Decision Weights
    Journal of Risk and Uncertainty, 2002, 25, (3), 265-90 View citations (12)
34. Experimental test of the prospect theory value function: A stochastic dominance approach
    Organizational Behavior and Human Decision Processes, 2002, 89, (2), 1058-1081 View citations (8)
35. Prospect Theory: Much Ado About Nothing?
    Management Science, 2002, 48, (10), 1334-1349 View citations (136)
    See also Chapter Prospect Theory: Much Ado About Nothing?, World Scientific Book Chapters, 2013, 129-144 (2013) (2013)

2001

36. Testing for risk aversion: a stochastic dominance approach
    Economics Letters, 2001, 71, (2), 233-240 View citations (13)

1997

37. New evidence for the power-law distribution of wealth
    Physica A: Statistical Mechanics and its Applications, 1997, 242, (1), 90-94 View citations (106)

1996

38. DYNAMICAL EXPLANATION FOR THE EMERGENCE OF POWER LAW IN A STOCK MARKET MODEL
    International Journal of Modern Physics C (IJMPC), 1996, 07, (01), 65-72 View citations (5)
39. POWER LAWS ARE LOGARITHMIC BOLTZMANN LAWS
    International Journal of Modern Physics C (IJMPC), 1996, 07, (04), 595-601 View citations (64)
40. SPONTANEOUS SCALING EMERGENCE IN GENERIC STOCHASTIC SYSTEMS
    International Journal of Modern Physics C (IJMPC), 1996, 07, (05), 745-751 View citations (13)

1994

41. A microscopic model of the stock market: Cycles, booms, and crashes
    Economics Letters, 1994, 45, (1), 103-111 View citations (102)

Books

2000

1. Microscopic Simulation of Financial Markets
   Elsevier Monographs, Elsevier View citations (158)

Chapters

2013

1. Prospect Theory and Mean-Variance Analysis
   Chapter 9 in HANDBOOK OF THE FUNDAMENTALS OF FINANCIAL DECISION MAKING Part I, 2013, pp 149-175
2. Prospect Theory: Much Ado About Nothing?
   Chapter 7 in HANDBOOK OF THE FUNDAMENTALS OF FINANCIAL DECISION MAKING Part I, 2013, pp 129-144
   See also Journal Article Prospect Theory: Much Ado About Nothing?, INFORMS (2002) View citations (136) (2002)

2005

3. Overweighing Recent Observations: Experimental Results and Economic Implications
   Springer