Haim Levy

Hebrew University of Jerusalem - Jerusalem School of Business Administration

Mount Scopus

Jerusalem, 91905

Israel

http://pluto.huji.ac.il/~mshlevy/

Fordham University

140 West 62nd Street

New York, NY 10023

United States

SCHOLARLY PAPERS

44

DOWNLOADS
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in Total Papers Downloads

23,788

SSRN CITATIONS
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SSRN RANKINGS

Top 3,678

in Total Papers Citations

102

CROSSREF CITATIONS

271

Scholarly Papers (44)

1.

Bonds Versus Stocks: Investors' Age and Risk Taking

Journal of Monetary Economics, Vol. 56, No. 6, pp. 817-830, September 2009
Number of pages: 40 Posted: 18 Oct 2006 Last Revised: 27 Feb 2012
Georgetown University - Robert Emmett McDonough School of Business, Sabanci University Graduate School of Management, Hebrew University of Jerusalem - Jerusalem School of Business Administration and Baruch College
Downloads 3,618 (3,522)
Citation 3

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Asset Allocation, Life-Cycle Funds, Almost Stochastic Dominance, Almost Mean-Variance

2.

Talking Numbers: Technical versus Fundamental Investment Recommendations

Journal of Banking and Finance, Volume 92, 2018, 100-114
Number of pages: 43 Posted: 22 Aug 2015 Last Revised: 08 Jun 2018
Doron Avramov, Guy Kaplanski and Haim Levy
Interdisciplinary Center (IDC) Herzliyah, Bar-Ilan University - Graduate School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 2,853 (5,344)
Citation 9

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fundamental analysis; technical rules; market efficiency; market anomalies

3.

Sentiment and Stock Prices: The Case of Aviation Disasters

Journal of Financial Economics (JFE), Vol. 95, No. 2, pp. 174-201, February 2010
Number of pages: 53 Posted: 25 Mar 2008 Last Revised: 28 Dec 2010
Guy Kaplanski and Haim Levy
Bar-Ilan University - Graduate School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 1,483 (15,407)
Citation 12

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Mood Event Effect, value stock returns, investors' mood, behavioral finance, disasters, abnormal returns

4.

CAPM Equilibria with Prospect Theory Preferences

Number of pages: 26 Posted: 21 Jul 2003 Last Revised: 06 Aug 2012
University of St. Gallen - SEPS: Economics and Political Sciences, University of Zurich - Department of Banking and Finance and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 1,480 (15,459)
Citation 2

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asset pricing, cumulative prospect theory, capital asset pricing model

5.

Exploitable Predictable Irrationality: The FIFA World Cup Effect on the U.S. Stock Market

Journal of Financial and Quantitative Analysis (JFQA), Vol. 45, No. 2, pp. 535-553, April 2010
Number of pages: 29 Posted: 27 Mar 2008 Last Revised: 28 Dec 2010
Guy Kaplanski and Haim Levy
Bar-Ilan University - Graduate School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 1,400 (16,855)
Citation 4

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exploitable predictable effect, mood event effect, market sentiment, behavioral finance, abnormal returns

6.

Risk Aversion and Skewness Preference: A Comment

ERIM Report Series Reference No. ERS-2003-009-F&A, Journal of Banking and Finance, Vol. 32, No. 7, pp. 1178-1187, 2008
Number of pages: 19 Posted: 23 Feb 2006
Thierry Post, Pim van Vliet and Haim Levy
Graduate School of Business of Nazarbayev University, Robeco Quantitative Investments and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 952 (29,729)
Citation 9

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asset pricing, risk aversion, skewness preference, representative investor, three-moment model

7.

Is There an Intertemporal Relation between Downside Risk and Expected Returns?

Journal of Financial and Quantitative Analysis (JFQA), Vol. 44, No. 4, pp. 883-909, 2009
Number of pages: 37 Posted: 18 Jul 2009 Last Revised: 27 Feb 2012
Georgetown University - Robert Emmett McDonough School of Business, Sabanci University Graduate School of Management and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 915 (31,469)
Citation 15

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Downside risk, skewed fat-tail distributions, extreme stock returns, tail risk.

8.
Downloads 879 ( 33,249)
Citation 3

The Two-Parameter Long-Horizon Value-at-Risk

Frontiers in Finance and Economics, Vol. 7, No. 1, pp. 1-20, 2010
Number of pages: 20 Posted: 07 May 2003 Last Revised: 11 Dec 2019
Guy Kaplanski and Haim Levy
Bar-Ilan University - Graduate School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 724 (42,756)

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Risk analysis, Risk management, Value-at-Risk, Basel regulations, Square Root Rule

The Two-Parameter Long-Horizon Value-at-Risk

Frontiers in Finance and Economics, Vol. 7, No. 1, pp. 1-20, 2010
Number of pages: 20 Posted: 16 Apr 2010
Guy Kaplanski and Haim Levy
Bar-Ilan University - Graduate School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 155 (233,454)

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Risk Analysis, Risk Management, Value-at-Risk, Basel Regulations, Square Root Rule

9.

Nonlinear Mean-Reversion in Stock Prices

Journal of Banking and Finance, Vol. 32, No. 5, pp. 767-782, 2008
Number of pages: 33 Posted: 01 Aug 2009 Last Revised: 27 Feb 2012
Georgetown University - Robert Emmett McDonough School of Business, Sabanci University Graduate School of Management and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 753 (41,141)

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mean reversion, extreme returns, time-varying risk aversion, stock market returns, market efficiency

Two Paradigms and Nobel Prizes in Economics: A Contradiction or Coexistence?

Number of pages: 32 Posted: 13 Aug 2003 Last Revised: 15 May 2011
University of St. Gallen - SEPS: Economics and Political Sciences, University of Zurich - Department of Banking and Finance and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 735 (41,904)
Citation 37

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asset pricing, cumulative prospect theory, capital asset pricing model, equilibrium.

Two Paradigms and Nobel Prizes in Economics: A Contradiction or Coexistence?

European Financial Management, Vol. 18, Issue 2, pp. 163-182, 2012
Number of pages: 20 Posted: 17 Mar 2012
Hebrew University of Jerusalem - Jerusalem School of Business Administration, University of St. Gallen - SEPS: Economics and Political Sciences and University of Zurich - Department of Banking and Finance
Downloads 0
Citation 6
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asset pricing, cumulative prospect theory, capital asset pricing model, equilibrium

11.

Basel's Value-at-Risk Capital Requirement Regulation: An Efficiency Analysis

Journal of Banking & Finance, Vol. 31, No. 6, pp. 1887-1906, June 2007
Number of pages: 39 Posted: 20 Sep 2004 Last Revised: 29 Sep 2013
Guy Kaplanski and Haim Levy
Bar-Ilan University - Graduate School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 722 (43,535)
Citation 3

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Value-at-Risk, VaR, Basel, regulations, Capital Requirement regulations

12.

A Model-Independent Measure of Aggregate Idiosyncratic Risk

Number of pages: 48 Posted: 16 Mar 2005 Last Revised: 27 Feb 2012
Turan G. Bali, Nusret Cakici and Haim Levy
Georgetown University - Robert Emmett McDonough School of Business, Fordham University and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 699 (45,475)
Citation 3

Abstract:

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idiosyncratic risk, total risk, average stock risk, stock market volatility, stock returns

13.

Do Happy People Make Optimistic Investors?

Journal of Financial and Quantitative Analysis (JFQA), Volume 50, (2015), 145-168.
Number of pages: 37 Posted: 30 Dec 2015
Bar-Ilan University - Graduate School of Business Administration, Hebrew University of Jerusalem - Jerusalem School of Business Administration, Monash University and Monash University - Department of Finance
Downloads 685 (46,731)
Citation 3

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sentiment-creating factors, sentiments, individual investors, mood, seasonal affective disorder

14.

The Holiday and Yom Kippur War Sentiment Effects: The Tel Aviv Stock Exchange (TASE)

Quantitative Finance, Vol. 12, Issue 8, pp. 1283-1298, August 2012
Number of pages: 34 Posted: 10 Nov 2009 Last Revised: 04 Apr 2014
Guy Kaplanski and Haim Levy
Bar-Ilan University - Graduate School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 630 (52,189)
Citation 2

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risk sentiment index (RSI), behavioral finance, perceived risk, market anomalies, market efficiency

15.

Seasonality in Perceived Risk: A Sentiment Effect

Quarterly Journal of Finance, 2017, 7(1), 1650015:1-21.
Number of pages: 24 Posted: 08 Apr 2008 Last Revised: 05 Feb 2018
Guy Kaplanski and Haim Levy
Bar-Ilan University - Graduate School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 581 (57,817)
Citation 10

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volatility risk premium, market seasonality effects, perceived risk, investor sentiment, market efficiency

16.

Value-at-Risk Capital Requirement Regulation, Risk Taking and Asset Allocation: A Mean-Variance Analysis

European Journal of Finance, Volume 21, Issue 3, (2015), 215-241.
Number of pages: 47 Posted: 07 Jan 2008 Last Revised: 11 Jun 2015
Guy Kaplanski and Haim Levy
Bar-Ilan University - Graduate School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 455 (78,248)

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Risk Management, Capital Requirement Regulation, Value-at-Risk, Basel Regulations, Regulated Capital Market Line

17.

Executive Short-Term Incentive, Risk-Taking and Leverage-Neutral Incentive Scheme

Annals of Financial Economics (AFE), Vol. 7, Issue 1, pp. 1250003-1:45, 2012
Number of pages: 64 Posted: 22 Jul 2009 Last Revised: 29 Sep 2013
Guy Kaplanski and Haim Levy
Bar-Ilan University - Graduate School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 419 (86,187)

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Executive compensation, leverage-neutral bonus scheme, bonus cap, risk-taking

18.

Behavioral Economics and Asset Pricing

Number of pages: 50 Posted: 18 Mar 2009
Haim Levy
Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 386 (95,074)
Citation 1

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19.

Does Risk Seeking Drive Asset Prices? A Stochastic Dominance Analysis of Aggregate Investor Preferences

The Review of Financial Studies, Vol. 18, No. 3, pp. 925-953, 2005, ERIM Report Series Reference No. ERS-2002-50-F&A
Number of pages: 53 Posted: 17 Aug 2002 Last Revised: 30 Aug 2012
Thierry Post and Haim Levy
Graduate School of Business of Nazarbayev University and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 377 (97,390)
Citation 8

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Asset pricing, risk seeking, specification error, prospect theory, stochastic dominance

20.

Analysts and Sentiment: A Causality Study

Quarterly Review of Economics and Finance, Volume 63, February 2017, Pages 315-327
Number of pages: 35 Posted: 17 Jun 2011 Last Revised: 05 Feb 2018
Guy Kaplanski and Haim Levy
Bar-Ilan University - Graduate School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 375 (97,993)
Citation 1

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financial analysts, investor sentiment, market efficiency, behavioral finance

21.

Real Estate Prices: An International Study of Seasonality’s Sentiment Effect

Journal of Empirical Finance, Vol. 19, Issue 1, pp. 123-146, January 2012
Number of pages: 48 Posted: 26 Jul 2009 Last Revised: 28 Feb 2012
Guy Kaplanski and Haim Levy
Bar-Ilan University - Graduate School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 362 (102,027)

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market sentiment, real estate prices, prices seasonality, behavioral economics

22.

Sentiment, Irrationality and Market Efficiency: The Case of the 2010 FIFA World Cup

Journal of Behavioral and Experimental Economics, Volume 49, (2014), 35-43
Number of pages: 27 Posted: 06 Mar 2012 Last Revised: 11 Jun 2015
Guy Kaplanski and Haim Levy
Bar-Ilan University - Graduate School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 339 (109,776)

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market efficiency, investor sentiment, flow of information, behavioral finance, abnormal returns

Envy and Altruism: Contrasting Bivariate and Univariate Prospect Preferences

The Scandinavian Journal of Economics, Forthcoming
Number of pages: 42 Posted: 19 Sep 2012 Last Revised: 23 Nov 2015
Guy Kaplanski and Haim Levy
Bar-Ilan University - Graduate School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 268 (140,246)
Citation 2

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bivariate preferences, envy, altruism, expected utility burning, contingent money burning, stochastic dominance, decision-making, efficiency analysis

Envy and Altruism: Contrasting Bivariate and Univariate Prospect Preferences

The Scandinavian Journal of Economics, Vol. 119, Issue 2, pp. 457-483, 2017
Number of pages: 27 Posted: 26 Mar 2017
Guy Kaplanski and Haim Levy
Bar-Ilan University - Graduate School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 1 (814,463)
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Efficient set, expected money burning, social presence, stochastic dominance

24.

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 213 (176,121)

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

25.

Could Omega Ratio Perform Better than Sharpe Ratio?

Number of pages: 19 Posted: 21 Jun 2018 Last Revised: 26 Sep 2018
Beijing Normal University (BNU), Hebrew University of Jerusalem - Jerusalem School of Business Administration, Feng Chia University and Asia University, Department of Finance
Downloads 211 (177,696)
Citation 6

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stochastic dominance, omega ratio, utility

26.

Trading Breaks and Asymmetric Information: The Option Markets

Journal of Banking and Finance, Vol. 58, 2015
Number of pages: 55 Posted: 24 Mar 2012 Last Revised: 05 Feb 2018
Guy Kaplanski and Haim Levy
Bar-Ilan University - Graduate School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 207 (180,880)

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options market microstructure, asymmetric information, implied volatility, market efficiency

27.

Prospect Theory and Utility Theory: Temporary Versus Permanent Attitude towards Risk

Number of pages: 47 Posted: 26 Jan 2013
Haim Levy and Zvi Wiener
Hebrew University of Jerusalem - Jerusalem School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 191 (194,695)
Citation 1

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Utility Theory, Prospect Theory, value function, risk attitude

28.

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 184 (201,229)
Citation 5

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

29.

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 133 (263,415)

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

30.

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 131 (266,404)

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

31.

Past Returns and the Perceived Sharpe Ratio

Journal of Economic Behavior and Organization,(2016) , Volume 123, 149-167.
Number of pages: 39 Posted: 01 Dec 2014 Last Revised: 05 Feb 2018
Bar-Ilan University - Graduate School of Business Administration, Hebrew University of Jerusalem - Jerusalem School of Business Administration, Monash University and Monash University - Department of Finance
Downloads 128 (271,071)
Citation 3

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Expected return; Perceived risk; Perceived Sharpe ratio; stock return autocorrelations

32.

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 128 (271,071)
Citation 3

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home-bias, international diversification, portfolio optimization, correlation

33.

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 121 (282,732)
Citation 6

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

34.

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 120 (284,423)

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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

35.

Investment Performance and Emotions: An International Study

Studies in Economics and Finance, (2018), Volume 36, 32-50
Number of pages: 29 Posted: 04 Jan 2014 Last Revised: 28 Jul 2019
Guy Kaplanski and Haim Levy
Bar-Ilan University - Graduate School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 111 (300,348)
Citation 1

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Investors' Economic Rationality, Altruism, Friendship, Bivariate Preference

36.

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 110 (302,253)
Citation 1

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

37.

What is the Economic Cost of the Investment Home Bias?

Number of pages: 33 Posted: 26 Oct 2013
Haim Levy
Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 110 (302,253)
Citation 1

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IHB-investment home bias, EHB-economic home bias

38.

Regression, Correlation, and the Time Interval: Additive-Multiplicative Framework

Management Science, Vol. 47, No. 8, pp. 1150-1159, August 2001
Number of pages: 10 Posted: 14 Jul 2007
Haim Levy, Ilan Guttman and Isabel Tkatch
Hebrew University of Jerusalem - Jerusalem School of Business Administration, Leonard N. Stern School of Business, New York University and Georgia State University - J. Mack Robinson College of Business
Downloads 94 (335,455)

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Correlation Coefficient, Regression Coefficient (Beta), Time Interval

39.

Consistent Tests for Almost Stochastic Dominance

Number of pages: 11 Posted: 10 Apr 2015 Last Revised: 11 Apr 2015
Xu Guo, Haim Levy and Wing-Keung Wong
Hong Kong Baptist University (HKBU) - Department of Mathematics, Hebrew University of Jerusalem - Jerusalem School of Business Administration and Asia University, Department of Finance
Downloads 93 (337,717)
Citation 3

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stochastic dominance; almost stochastic dominance; risk aversion, consistent test statistics

40.

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 70 (399,013)

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

41.

More Possessions, More Worry

Fordham University Schools of Business Research Paper No. 2392530
Number of pages: 41 Posted: 09 Feb 2014 Last Revised: 03 Apr 2014
Haim Levy and Yusif Simaan
Hebrew University of Jerusalem - Jerusalem School of Business Administration and Fordham University - Graduate School of Business
Downloads 62 (424,992)
Citation 2

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portfolio theory, estimation risk, CAPM, rational choice, optimization under estimation risk

42.

The CAPM is Alive and Well: A Review and Synthesis

European Financial Management, Vol. 16, No. 1, pp. 43-71, January 2010
Number of pages: 29 Posted: 28 Dec 2009
Haim Levy
Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 4 (749,336)
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43.

Aging Population, Retirement, and Risk Taking

Management Science, Vol. 62, No. 5, pp. 1415–1430, May 2016
Posted: 08 Oct 2013 Last Revised: 11 May 2016
Haim Levy
Hebrew University of Jerusalem - Jerusalem School of Business Administration

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first-degree stochastic dominance; asymptotic stochastic dominance; almost stochastic dominance; maximum geometric mean; FSD violation area; life-cycle funds; prospect theory

44.

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

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Investment Theory: portfolio theory, Portfolio Management: asset allocation