Biography

Prof. Haim Levy

Hebrew University, Israel


Email: mshlevy@mscc.huji.ac.il


Qualifications

1969 Ph.D., Hebrew University, Israel

1966 M.Sc., Hebrew University, Israel

1963 B.Sc., Hebrew University, Israel


Publications (Selected)

  1. "Stochastic Dominance and Medical Decision Making" (with M. Leshno), Health Care Management Science, 2004.
  2. "Experimental Test of the Prospect Theory Value Function: Stochastic Dominance Approach" (with M. Levy), Organizational and  Behavior and Human Decision Pcesses, 2002.
  3. "Decision-Making Under Uncertainty: Stochastic Dominance"  (with M. Leshno), in Current State in Business Disciplines, Ed. Shri BhagwanDahiya, Spellbound Publication PVT. LTD., Rohtale, 2000.
  4. "Economically Relevant Preferences for All Observed Epsilon” (with M. Leshno and B. Liebovitz), Annals of Operation Research, forthcoming.
  5. "Preferred by 'All' and Preferred by 'Most Decision Makers: Almost Stochastic Dominance" (with M. Leshno), Management Science, 2002.
  6. "Prospect Theory: Much Ado About Nothing?" (with M. Levy), Management Science, 2002.
  7. "Regression, Correlation and the Time Interval: Additive-Mutiplicative Framework" (with I. Guttman and I. Tkatch), Management Science, 2001.
  8. "Sentiment and Stock Prices: The Case of Aviation Disasters" (with G. Kaplanski), Journal of Financial Economics, forthcoming.
  9. "Exploitable Predictable Irrationality: The FIFA World Cup Effect on the U.S. Stock Market” (with G. Kaplanski), Journal of Financial and Quantitative Analysis, forthcoming.
  10. "Markovitz Versus the Talmudic Portfolio Diversification Strategies" (with R. Ducin), Journal of Portfolio Management, 2009.
  11. "Mean Variance versus Naïve Diversification" (with Ran Ducin), in The Handbook of  Portfolio Construction: Contemporary Applications of Markovitz Techniques" (Editor: J. Guerard), New York, Springer Publishing, 2009.
  12. "Risk Aversion and Skewness Preference" (with T. Post and P. Vliet), Journal of Banking and Finance, 2008.
  13. "Basel's Value-at-Risk Capital Requirement Regulation: An Efficiency Analysis" (with G. Kaplanski), Journal of Banking and Finance, 2007.
  14. "Nonlinear Mean Reversion in Stock Prices” (with T. Bali and O. Demirtas), Journal of Banking and Finance, 2008.
  15. "A Model–Independent Measure of Aggregate Idiosyncratic Risk” (with T. Bali and N. Cakici), Journal of Empirical Finance, 2008.
  16. "The Log-Normal Asset Pricin Model” (with A.Cohen), Reaserch In Financial Economic, 2005.
  17. "The Value of Financial Disclosure and Regulation: A Portfolio Approach" (with M. Levy and G. Benita), Journal of Portfolio Management, 2006.
  18. "Capital Asset Prices with Heterogeneous Beliefs" (with M. Levy and G. Benita), Journal of Business, 2006.
  19. "Does Risk Seeking Drive Stock Prices" (with T. Post), Review of Financial Studies, 2005.
  20. "Prospect Theory and Mean-Variance Analysis" (with M. Levy), Review of Financial Studies, 2004.
  21. “Homemade Leverage: Theory versus Experimental Evidence" (with M. Levy and N. Alisof), Journal of Portfolio Management, 2004.
  22. "Time Diversification and Stochastic Dominance" (with C.W. Hodges and J.A. Yoder), Research in Finance, 2004.
  23. "Asset Returns' Distributions and the Investment Horizon" (with R. Duchin), Journal of Portfolio Management, 2004.
  24. "A Negative Equilibrium Interest Rate" (with M. Levy and A. Edry), Financial Analyst Journal, April 2003.


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