Publications
Duchin, R. and M. Levy,
“Disagreement, Portfolio Optimization and Excess Volatility”,
Journal of Financial and Quantitative Analysis, forthcoming.
Levy, M., “Loss Aversion
and the Price of Risk”, Quantitative Finance, forthcoming.
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.
Levy, M., “Almost Stochastic
Dominance and Stocks for the Long Run”,
European Journal of Operational Research, 194, 2009, 250-257.
Levy, M. and G. Benita,
“Are Equally Likely Outcomes Perceived as Equally Likely?”,
Journal of Behavioral Finance, forthcoming.
Levy, M., “Gibrat’s
Law for Almost All Cities” , American Economic Review,
forthcoming.
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”,
in Economic Theory Research Trends, F. Columbus (Ed.), forthcoming.
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”, in The Encyclopedia of Complexity and
System Science, forthcoming.
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. (2)
Levy, M., H. Levy and
G. Benita, “Capital Asset Prices with Heterogeneous Beliefs”,
Journal of Business, 32, 2006, 107-115. 1.13;.
Levy, M., “Mutual Fund
Ranking and the Investment Horizon”, Finance Letters,
forthcoming (16 typed pg.).
Levy, M., “Social Phase
Transitions”, Journal of Economic Behavior and Organization,
57, 2005. 71-87. 0.57; 33/169.
Levy, M., “Is Risk-Aversion
Hereditary?”, Journal of Mathematical Economics, 41,
1, 2005, 157-168. 0.37; 63/169. (1).
Levy, H., M. Levy and
N. Alisof, “’Homemade Leverage’: Theory versus Experimental Evidence”,
Journal of Portfolio Management, 31, 2004, 84-93. 0.46; 21/36.
Levy H., and M. Levy,
“Prospect Theory and Mean-Variance Analysis”, Review of Financial
Studies, 17, 4, 2004, 1015-1041. 2.20; 4/36.
Levy, M., “Are Rich
People Smarter?”, Journal of Economic Theory, 110, 1,
2003, 42-64. 0.816; 10/165. (4).
Levy, M., “Market Efficiency,
the Pareto Wealth Distribution, and the L?vy Distribution of Stock
Returns”, in The Economy as an Evolving Complex System
III, 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. 1.27. 3/165.
Levy, H., M. Levy and
A. Edry, “A Negative Equilibrium Interest Rate”, Financial
Analyst Journal, April 2003, 97-109. 0.67; 16/36.
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. 1.5; 1/61. (19).
Levy, H. and M. Levy,
”Experimental Test of the Prospect Theory Value Function”,
Organizational Behavior and Human Decision Processes,
89, 2002, 1058-1081.
1.27; 4/43. (6).
Levy, H. and M. Levy,
“Arrow-Pratt Risk Aversion, Risk Premium, and Decision Weights”,
Journal of Risk and Uncertainty, 25,3, 2002, 265-290. 1.4; 21/165.
(4).
Levy, M. and H. Levy,
“Testing for Risk Aversion: A Stochastic Dominance Approach”,
Economics Letters 71, 2, 2001, 233-240. 0.34; 23/165. (2)
Biham, O., O. Malcai,
M. Levy and S. Solomon, “Generic Emergence of Power Law Distributions
and L?vy-stable Intermittent Fluctuations in Discrete Logistic Systems”,
Physical Review E 58, 1998, 1352-1358. 2.24; 1/29. (28).
Levy, M., and S. Solomon,
"New Evidence for the Power-Law Distribution of Wealth",
Physica A, 242, 1997, 90-94. 1.29; 6/67. (65).
Levy, M., and H. Levy,
"The Danger of Assuming Homogeneous Expectations", The
Financial Analyst Journal, May 1996, 65-70. 0.67; 16/36.
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. (8).
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. 0.75. (37).
Levy, M., and S. Solomon,
"Power Laws are Logarithmic Boltzmann Laws", International
Journal of Modern Physics C , 7, 4, 1996, 595-601. 0.75.
(73).
Solomon, S. and M. Levy,
"Spontaneous Scaling Emergence in Generic Stochastic Systems",
International Journal of Modern Physics C , 7, 5, 1996, 745-751.
0.75. (42).
Levy, M., H. Levy and
S. Solomon, "Simulation of the Stock Market: The Effects of Microscopic
Diversity", Journal de Physique I, 5,
1995, 1087-1107. 0.32. (63).
Levy, M., H. Levy and
S. Solomon, "A Microscopic Model of the Stock Market: Cycles, Booms,
and Crashes", Economics Letters, 45, 1994,
103-111. 0.34; 23/165. (55).
Back
·
Microscopic simulation of stock markets: the effects of heterogeneity and bounded
rationality.
·
Econophysics: power-law distributions in economics and finance. the Le¢ vy distribution of stock
returns and the Pareto wealth distribution.
· The
distribution of wealth and its origins: talent or luck?.
·
“Phase transitions” in social systems.
·
Decision-making under uncertainty.
·
Portfolio Optimization with many assets.
Back
The Hebrew University
The
Jerusalem School of Business Administration
e-mail: mslm@mscc.huji.ac.il
Content: 
email
mslm@mscc.huji.ac.il
Publications list