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Details about Moshe Shiki Levy

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Workplace:Jerusalem School of Business Administration, Hebrew University of Jerusalem, (more information at EDIRC)

Access statistics for papers by Moshe Shiki Levy.

Last updated 2019-05-12. Update your information in the RePEc Author Service.

Short-id: ple806


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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 Downloads View citations (2)

2000

  1. Market Ecology, Pareto Wealth Distribution and Leptokurtic Returns in Microscopic Simulation of the LLS Stock Market Model
    Papers, arXiv.org Downloads View citations (4)

Journal Articles

2019

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

2015

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

2014

  1. 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 Downloads
  2. The benefits of differential variance-based constraints in portfolio optimization
    European Journal of Operational Research, 2014, 234, (2), 372-381 Downloads View citations (12)
  3. The gravitational law of social interaction
    Physica A: Statistical Mechanics and its Applications, 2014, 393, (C), 418-426 Downloads View citations (3)
  4. The home bias is here to stay
    Journal of Banking & Finance, 2014, 47, (C), 29-40 Downloads View citations (9)

2012

  1. Co-monotonicity: Toward a utility function capturing envy
    Economics Letters, 2012, 114, (1), 16-19 Downloads
  2. On the Spurious Correlation Between Sample Betas and Mean Returns
    Applied Mathematical Finance, 2012, 19, (4), 341-360 Downloads
  3. The utility of health and wealth
    Journal of Health Economics, 2012, 31, (2), 379-392 Downloads View citations (8)

2011

  1. Mean–variance efficient portfolios with many assets: 50% short
    Quantitative Finance, 2011, 11, (10), 1461-1471 Downloads View citations (1)

2010

  1. Disagreement, Portfolio Optimization, and Excess Volatility
    Journal of Financial and Quantitative Analysis, 2010, 45, (3), 623-640 Downloads View citations (3)
  2. Loss aversion and the price of risk
    Quantitative Finance, 2010, 10, (9), 1009-1022 Downloads View citations (1)
  3. Scale-free human migration and the geography of social networks
    Physica A: Statistical Mechanics and its Applications, 2010, 389, (21), 4913-4917 Downloads View citations (5)
  4. The Market Portfolio May Be Mean/Variance Efficient After All
    Review of Financial Studies, 2010, 23, (6), 2464-2491 Downloads View citations (19)

2009

  1. Almost Stochastic Dominance and stocks for the long run
    European Journal of Operational Research, 2009, 194, (1), 250-257 Downloads View citations (18)
  2. Gibrat's Law for (All) Cities: Comment
    American Economic Review, 2009, 99, (4), 1672-75 Downloads View citations (42)
  3. The safety first expected utility model: Experimental evidence and economic implications
    Journal of Banking & Finance, 2009, 33, (8), 1494-1506 Downloads View citations (15)

2008

  1. Stock market crashes as social phase transitions
    Journal of Economic Dynamics and Control, 2008, 32, (1), 137-155 Downloads View citations (14)

2007

  1. Conditions for a CAPM equilibrium with positive prices
    Journal of Economic Theory, 2007, 137, (1), 404-415 Downloads View citations (7)
  2. 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 Downloads View citations (17)

2006

  1. The Forbes 400 and the Pareto wealth distribution
    Economics Letters, 2006, 90, (2), 290-295 Downloads View citations (59)

2005

  1. Is risk-aversion hereditary?
    Journal of Mathematical Economics, 2005, 41, (1-2), 157-168 Downloads View citations (5)
  2. Social phase transitions
    Journal of Economic Behavior & Organization, 2005, 57, (1), 71-87 Downloads View citations (6)

2003

  1. Are rich people smarter?
    Journal of Economic Theory, 2003, 110, (1), 42-64 Downloads View citations (25)
  2. Investment Talent and the Pareto Wealth Distribution: Theoretical and Experimental Analysis
    The Review of Economics and Statistics, 2003, 85, (3), 709-725 Downloads View citations (16)

2002

  1. Arrow-Pratt Risk Aversion, Risk Premium and Decision Weights
    Journal of Risk and Uncertainty, 2002, 25, (3), 265-90 Downloads View citations (6)
  2. Experimental test of the prospect theory value function: A stochastic dominance approach
    Organizational Behavior and Human Decision Processes, 2002, 89, (2), 1058-1081 Downloads View citations (6)
  3. Prospect Theory: Much Ado About Nothing?
    Management Science, 2002, 48, (10), 1334-1349 Downloads View citations (93)

2001

  1. Testing for risk aversion: a stochastic dominance approach
    Economics Letters, 2001, 71, (2), 233-240 Downloads View citations (12)

1997

  1. New evidence for the power-law distribution of wealth
    Physica A: Statistical Mechanics and its Applications, 1997, 242, (1), 90-94 Downloads View citations (66)

1996

  1. 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 Downloads View citations (1)
  2. POWER LAWS ARE LOGARITHMIC BOLTZMANN LAWS
    International Journal of Modern Physics C (IJMPC), 1996, 07, (04), 595-601 Downloads View citations (11)
  3. SPONTANEOUS SCALING EMERGENCE IN GENERIC STOCHASTIC SYSTEMS
    International Journal of Modern Physics C (IJMPC), 1996, 07, (05), 745-751 Downloads View citations (1)

1994

  1. A microscopic model of the stock market: Cycles, booms, and crashes
    Economics Letters, 1994, 45, (1), 103-111 Downloads View citations (77)

Books

2000

  1. Microscopic Simulation of Financial Markets
    Elsevier Monographs, Elsevier Downloads View citations (67)
 
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