Haim Levy

Miles Robinson Professor of Business Administration

: web_res/image014.pngTHE HEBREW UNIVERSITY OF JERUSALEM
THE JERUSALEM SCHOOL OF
BUSINESS ADMINISTRATION

 

: web_res/gr_ball.gifE-mail

mshlevy@huji.ac.il

: web_res/gr_ball.gifPhone

972-2-5883101

: web_res/gr_ball.gifHome

972-2-6523620

 

  

: web_res/gr_ball.gifFax

972-2-6514221

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054-4330260


 

 

Educational Background

 

         B.A. Hebrew University, 1963

         M.A. Hebrew University, 1966

         Ph.D. Hebrew University, 1969

 

 

Academic Appointments

 

         Dean, School of Business Administration, The Center of Law and Business, Ramat- Gan, 2007-2012

         Hebrew UniversityJerusalemIsrael Professor, 1976-Present

         Hebrew University, Jerusalem, Israel:

o    Dean, School of Business, 1973-1975

o    Professor, 1976-

o    Associate Professor, 1973-1976

o    Senior Lecturer, 1971-1973

o    Teaching Assistant, Department of Statistics, 1963-1965

o    Research Assistant, 1962-1965

         University of Florida Graduate Research Professor, 1990-

         University of Pennsylvania Visiting Professor, 1979-1980

         University of California, Berkeley Visiting Associate Professor, 1970-1971, Summer 1972

         University of Illinois Visiting Associate Professor, 1969-1970

         Falk Institute of Research ,Research Fellow, 1978-1979, 1981-1983

         Levy Eshkol Institute for Economic, Social and Political Research, Research Fellow, 1971-1973

         Israel Financial Research Institute Senior Economist, 1965-1967

 

Media

Interviews

a)     Master of Finance Videos-American Finance Association(AFA)

         An Interview by Harry Markowitz.

         The History of Financial Thought Part I: Stochastic Dominance

         The History of Financial Thought Part II: Stochastic Dominance and the CAPM

b)    Other Videos

         First interview at London & Kirshenbaum, Israel, Channel 10 (Hebrew)

         Second interview at London & Kirshenbaum, Israel, Channel 10 (Hebrew)

         Interview at Layla Calcali, Israel, Channel 10 (Hebrew)

         Interview at Israel, Knesset Channel (Hebrew)

c)     Other Honorary Lectures

        Capital market: profitability, risk and distribution of wealth in the population at the Hebrew University of Jerusalem (Hebrew)

 

d)    Prizes

        The Israel Prize (Hebrew)

        The EMET Prize (Hebrew)

 

e)     Other media coverage

Jacob Bettany, Guy Kaplanski talks Behavioural Economics and the impact of the World Cup on Stock Market Performance, Money Science, June 20, 2014. (The Interviw)

Mark Hulbert, Like sports? That may make you a worse investor. MarketWatch (Wall Street Journal), June 17, 2014. 

Abby Ellin,   Envy Outweighs Greed in New Investment Study, ABC News, October 4, 2012.

Margarita Rodríguez, El Super Bowl augura buenos tiempos financieros, BBC Mundo (BBC), February 2011.

The FIFA World Cup and the Capital Market, The Marker Magazine (Hebrew), June 8 2010.

Hagai Amit and Noam Bar, Gift for investors: Stocks tend to bounce right before holidays, Haaretzh (English)/The Marker Magazine (Hebrew), September 7, 2010.

Elizpan Rosenberg, Did the Team Lose? The Stocks will Decline, YNET, October 31, 10.

Seasonality in Real Estate, Web Interview, Financim Capital Management Ltd., October, 2013.

Financial Analysts and Sentiment, Web Interview, Financim Capital Management Ltd., July 2011.

Simon Thompson, A World Cup Winner, Investor Chronicle (Financial Times Magazine), May 14, 2010.

Ray Turchansky, Trust Fundamentals with Investments. CALGARY HERALD, March 20, 2011.

Jeremy Ghassemi, The World Cup and the U.S. Stock Market. FOXSPORTSNEWS on MSN.com, June 20, 2013.

作者 張曉, 中國股市恐難逃世界杯魔咒 (China's stock market fear escape World Cup "curse"), 路透新聞 (Reuters News), June 3, 2014.

Eric Falkenstein, More Evidence that Envy Trumps Greed, Business Insider, October 2, 2012.

Stocks Moves in World Cup, The Technical Analyst, June 2008, 42.

Peter Sharkey, Cup Winners and Losers, The Aberdeen Press and Journal, June 9, 2010.

Peter Sharkey, It will all End in Tears; Business of Sport, The Birmingham Post (England), June 10, 2010.

William A. Trent, CFA Digest, May 2005, Vol. 35, No. 2: pp. 44-45.

Ray Turchansky, Investors Prey to 'Mind over Market' Whims, Edmonton Journal. March 11, 2011.

Michael Bow, Why the World Cup is so bad for stock markets, CityAM London's business newspaper, May 22, 2014.

Charlie Thomas, Holidays: Good for the Soul, Bad for Risk Perception, Asset Internationals Chief Investment Officers (aiCIO), September 03, 2013.

Envy outweighs greed` in financial matters, Yahoo Finance News, October 5, 2012.

Harry Geels: Duidelijk verband volatiliteit en seizoen, De Telegaaf, Financiële Telegraaf,  May 7, 2008.

Teh Hooi Ling, Markets Brace for World Cup Lull, The Business Times, Top Print Edition Stories, March 29, 2010. (republished in IMSavy, Central Provident Fund Board).

The Global Effect of FIFA World Cup on the Stock Market, Money Science, January 8, 2008.

Thomas M. Anderson, Mental Wealth, Monocle, issue 40, volume 05, February 2011.

Temas Relacionados, Mercados de valores son afectados por las patadas. Noticieros Televisa (Mexico television), 17. Jun. 2014

Lissette Esquila, Cómo afecta la Copa del Mundo a los mercados financieros? Terra Networks (USA), 17. Jun. 2014.

Situación intradía. Los bancos centrales lo calman todo. Ei - Estrategias de inversionPublicaciones Técnicas Profesionales, 17. Jun. 2014. 

It delights us to see others lose money, The Times of India, October 7, 2012.

Voetbal koning van de beursvloer, De TIJD, 17 February 2012 (Dutch).

The Olympics, World Cup & World Markets, FinanceInterns, September 2, 2012.

Chris Dillow, Why the World Cup matters, Investors chronicle, June 9, 2014.

Thanh Sơn, Lời nguyền của các kỳ World Cup, Vietnam tribune, May 30, 2014.

羅家聰,世界杯年見六 賽期持貨多虧損, hket.com (China), June 9, 2014.

TRANG CHỦ , World Cup những lời nguyền, Bongda moi.vn, June 10, 2014.

Phạm Giang, Ronaldo thoát lời nguyền đáng sợ nhất World Cup, VT NEWS, June 10, 2014.

Kinh tế, Tại sao World Cup lời nguyền với thị trường chứng khoán? BÁO ĐẤT VIỆT May 27, 2014.

Quang Hải, Thà bị loại sớm, đừng làm á quân, CHUYÊN TRANG BÓNG ĐÁ TOÀN CẦU CỦA BÁO ĐẤT VIỆT

Asgeir Nilsen, Sure tap i fotball-VM svir børsen, NETTAVISION (Norway), June 11, 2014.

Jeroen Blokland, Dat wordt niks, deze zomer, IEXProfs, 3 May 2012.

Evan Pickworth, Investors Fear Cup Effect, IAFRICA.COM, June 8, 2010.

Soccer World Cup 2010 US Stock Market Performance, iStockAnalyst, June 08, 2010.

Yoga PS, Sepak Bola dan Bursa Efek, Masturbasi Intelektual, March 25, 2011.

Existira alguna relación entre la bolsa de valores y el Futbol? Inversion Y Juego, February 3 2011.

Happy People Make Terrible Traders, Stockopedia, May 24 2012 (republished in Yahoo Finance).

Neal Boortz, Obama - Wealth Envy Warlord, WSB Radio, Nationally Syndicated Neal Boortz Show, April 10, 2013.

A Smiling Trader is a Losing Trader, Mindful Money, June 6, 2012.

Disasters and Investing, Empirical Finance Blog: Turning Academic Insight Into Investment Performance, March 18, 2011.

Richard Deaves, Aviation disasters, Mind over Market: Highlights from recent research in behavioral finance, January 21, 2011.

Other Scholarly Honors and Awards

 

         Ranked #64 in the Nobel list in Economics; Nobel list: publications 1969-2000 

(see http://homepages.ulb.ac.be/~tcoupe/update/nobelpub.html. )

         Ranked as the most prolific researcher in Finance in the World, based on publications in 16 core journals in Finance during the half century (years 1953-2002). Appears in Philip Cooley and Jean Heck "Prolific Authors in Finance Literature: A Half Century Contribution", Journal of Finance Literature, Winter 2005.

(see http://mail.tku.edu.tw/niehcc/pdf/Prolific_Finance_Authors.pdf )

         Ranked as the most prolific researcher in the World in Finance during the years 1945-1986. Appeared in Financial Management, Autumn 1988

(see http://www.jstor.org/pss/3666076 )

         Berliner prize for excellence research in insurance, June 2006.

         Conference on "Testing Stochastic Dominance Restrictions" In the honor of the contributions of HAIM LEVY to Finance, London 2005.

         The Hebrew University Presidential Distinguished Researcher Award 1996.

         Ranked as the most cited in Richard Brealy and Helen Edwards, A Bibliography of Finance Cambridge, MA: The MIT Press 1991 (The Journal of Finance, June 1991)

         Among the top 100 researchers ranked by their citations (#47) in JF, JFQA, and JFE during the period 1974-1998 (out of 12,637 researchers who have published in these Journals). Appeared in "Citations in the Financial Literature: Evidence and Interpretation," by K.H. Chung, R.A.K. Cox and J. Mitchell, working paper, State University of Buffalo and Central Michigan 2000.

         Co-authored papers with two Nobel Prize winners in Economics (H. Markowitz and P. Samuelson).

         Listed in Who's Who in Economics, University of London Institute of Education and Harvestor Press, 1983.

         Listed in Who's Who in Education, International Center of Cambridge, England, Winter 1985/1986.

         Listed in Who's Who in Israel, Publisher Ltd.

         Listed in Who's Who in the World.

         Member, Financial Economists Roundtable, 1993-1996

         The article, "Management of Accounts Receivable Under Inflation," (with M. Ben-Horim) won the Financial management Award for the best paper published in 1983.

         The article, "Choosing the Best Advertising Appropriate When Appropriations Interact Over Time," (with J. Simon) won the award for the best theoretical/empirical paper by the Association for Information and Decision Science, 1987.

         The article "Does Risk Seeking Derive Stock Prices?" won the Top 2006 Article Award of the Erasmus Research Institute of Management (ERIM).

         2010 Bar Ilan Mathematical Department's prize for academic excellence in Mathematical Finance. 

         The article "The CAPM is Alive and Well: A Review and Synthesis" published in the European Financial Management Journal, won two EFM awards: a) 2010 Readers' Choice Best Paper Award for 2010 b) Top Download Award, 2010.


 

 

Offices in Business, Civic and Academic Associations

 

Business and Civic

         Director , Bank Leumi 2014-

         Director, Harel, Feb. 2014-June 26, 2014

         Director, Menora-EmedaMutual Funds, 2006-

         Chairman of EMDA, the Mizrachi Bank Mutual Funds, 1999-2006

         Consultant, Kanat Investment Funds, 2006-

         Consultant, Biet Meniv, 2008.

         Consultant, Bank Hapoalim, 2008.

         President, Ride On It, Ltd., 2000-2002

         Consultant, Mizrachi Bank, 2000-2006

         Consultant, Medibar Ltd.-2002

         Chairman, Academic Evaluation Committee of Tisom, 1994.

         Chairman, Investment Committee, Target Mutual Fund, 1988-1999

         Member of the Board of Directors, PIA Investment Corporation, 1987-1999

         Member of the Committee for Investment Incentives, Israel, 1993.

         Chairman, Promotion and Tenure Committee, Hebrew University, Jerusalem, 1982-1984

         Member of the Board of Governors, Jerusalem Institute of Management, 1974-1982

         Member of the Israel Investment Incentives Committee, 1974

         Member of the Board of Governors, College of Administration, Tel-Aviv, Israel, 1973-1976

         Consultant, Bezek, 1992

         Consultant, Ministry of Law, 1993

         Consultant, T. S. A. United States 1988-1985

         Consultant, Bezek 1989-1990

         ConsultantIsrael Ministry of Finance, 1984

         Consultant, Granot Industries, 1983-1985

         Consultant, Tadiran Ltd., 1979

         ConsultantIsrael Ministry of Industry and Commerce, 1977-1978

         ConsultantIsrael Contractors Organization, 1974-1975

         ConsultantIsrael National Lottery, 1974

         ConsultantIsrael Ministry of Interior, 1973

         Consultant, Bank of Israel, 1966-1967, 1972-1973, 1992-1993

         Consultant, Rogosin Industries, Ltd. 1969-1971

 

Academic

         Editor, Research in Finance, 1976-1985

         Associate Editor, Journal of Banking and Finance, 1976-1980

         Associate Editor, Management Science, 1983-1992

         Associate Editor, Journal of Finance, 1982-1983

         Associate Editor, Financial Review, 1989-2004

         Associate Editor, Review of Quantitative Finance and Accounting, 1990-

         Associate Editor, Journal of Portfolio Management, 1994-

         Associate Editor, Financial Analysts Journal, 1994-2002

         Associate Editor, European Finance Review, 1996-1998

         Associate Editor, Energy Economics, 2000-2004

         Editorial Board, Journal of Mathematical Finance, 2011-

         Editorial Board, Theoretical Economics Letters, 2011-

         Advisory Board, Annals of Financial Economics, 2011-

         Referee of articles for the Journal of Finance, California Management Review, Operation Research, Western Economic Journal, Management Science, American Economic Review, Journal of Financial and Quantitative Analysis, Journal of Economic Theory, Econometrica, Public Finance Quarterly, Review of Economic Studies, Review of Economics and Statistics, Decision Science, European Economic Review, Journal of Money, Credit and Banking, Journal of Mathematical Economics, Contemporary Accounting Research, Journal of Accounting, Auditing and Finance, Review of Quantitative Finance and Accounting, Economic Journal, Journal of Risk and Uncertainty, Financial Analyst Journal, Journal of Portfolio Management, Journal of Banking and Finance, Applied Mathematical Finance, The Statistician, and the Journal of Futures Markets, European Operation Research, Journal of Empirical Finance, Quantitative Finance.

         Referee of research projects for the U.S. National Science Foundation


 

 

Dissertations Chairman or Co-Chairman

 

         Lim, Kok-Chew - Several Essays in Financial Economics

         Gunthorpe, Deborah - Buy Backs: An Empirical Investigation

         Bi, Kequian - Bankruptcy: An Empirical Study of the Aggregate Effects of Strategic and Competitive Environment

         Jo Ho Je - A New Bilinear Paradigm of APT - Tests and Applications

         ShankerLatha - Differential Inflation: Relative Impacts Upon Diversified and Single Industry Firms

         Wright, Deborah Lynne - Acquisitions of U.S. Companies by Foreign Firms

         Yoder, James Allen - An Empirical Investigation Into the Behavior of Options Around Merger and Acquisition Announcements

         Brooks, Robert - An Empirical Study of the Impact of Market Frictions on the Term Structure of Interest Rates

         Byun, Young Hoon - Takeover Announcements, Information Asymmetry, and Market Microstructure: An Empirical Investigation

         Broske, Mary - Quantifying the Probability of Default as Assessed by the Bond Market: An Empirical Investigation

         Bae Sung Chul - Essays on New Equity Issues and Investments Banking Contracts

         Zvi Lerman - The Yield to Maturity Curve and Optimal Bond Portfolios for Varying Investment Horizons

         Levy, Azriel - Problems in Multiperiod Investment Under Uncertainty

         Kroll, Yoram - Preferences Among Combination of Risky Assets and a Riskless Asset: Criteria and Implications

         Cohen, Allon - Optimal Portfolio Selection and Market Equilibrium with Stochastic Investment Horizons

         Golan Benita - Market Efficiency and Asset Pricing in a Heterogeneous Market and in a Segmented Market.

         Rachel Shalom-Gilo - Herd Behavior Among Investors in the Stock Market: Types of Signals and the Demand for Stocks

 

 

 


 

PUBLICATIONS

 

Books and Monographs

 

Introduction to Investment (with T. Post)

Pearson Education, 2004

 

 

Introduction to Investments

Chinese edition, 2002

 

 

Investments

Chinese edition, 2005

 

 

Microscopic Simulation of Financial Models: From Investor Behavior to Market Phenomena

(with M. Levy and S. Solomon), Academic Press, Principles of Investment Education, 2000

 

 

Stochastic Dominance: Investment Decision Making Under Uncertainty

Second Edition Springer, 2006

Third Edition (forthcoming)

 

 

 

The Capital Asset Pricing Model in the 21st Century

Cambridge, 2012

 

 

 

1.      The Capital Asset Pricing Model in the 21st Century: Analytical, Empirical, and Behavioral Perspectives, Cambridge University Press, 2012.

2.      Introduction to Finance (with G, Kaplanski) Magnes University Press, Hebrew University, 1st edition 2008, 2nd edition 2009.

3.      Introduction to Investment (with T. Post), Pearson Education, 2004, Chinese edition 2008.

4.      Fundamentals of Investments, Pearson Education, 2002.

5.      Microscopic Simulation of Financial Models: From Investor Behavior to Market Phenomena (with M. Levy and S. Solomon), Academic Press, 2000.

6.      Decision Making Under Uncertainty: Stochastic Dominance, Kluwer Academic Publishers, 1st edition 1998, 2nd edition, 2006 , Third Edition, 2015

7.      Principles of Corporate Finance, South-Western, 1998.

8.      Introduction to Investments, South-Western, 1995; second edition, 1999; Chinese edition, Peking University Press, 2002.

9.      Principles of Financial Management: Canadian Edition (with V. Jog, A. Riding and M. SarnatPrentice-HallCanada, 1990.

10.  Principles of Financial Management, (with M. Sarnat) Prentice-Hall, 1988.

11.  Portfolio and Investment Selection: Theory and Practice, (with M. Sarnat) Prentice-Hall International, 1984.

12.  Business Statistics: Fundamentals and Applications (with M. Ben-Horim) Random House, 1983.

13.  Statistics: Decisions and Applications in Business and Economics, (with M. Ben-Horim), Random House, 198l. Second Edition, 1984.

14.  The Israeli Stock Market, (with M. Smith and M. Sarnat), Tel-Aviv, Schocken Publishing House, 1978 (Hebrew). Second Edition 1999.

15.  Corporate Investment and Financing Decisions, (with M. Sarnat), Englewood Cliffs, New Jersey, Prentice-Hall International, 1978. Second Edition, 1982; Third Edition, 1986; Fourth Edition, 1989; Fifth Edition, 1994.

16.  Financial Decision Making Under Uncertainty, Co-Editor (with M. Sarnat), Academic Press, New York, 1977.

17.  The Structure of Revenues of Local Authorities in Israel, (with B. Barlev and M. Sarnat), Jerusalem, Ministry of Interior, 1973 (Hebrew).

18.  Investment and Portfolio Analysis, (with M. Sarnat), New York, John Wiley and Sons, 1972.

19.  Wage Differentials of Employees in Israel, 1957/8-1963/4, Jerusalem, Bank of Israel, 1968 (Hebrew).

 

 

SELECTED PUBLICATIONS

         "The Efficiency Analysis of Choices Involving Risk," (with G. Hanoch), Review of Economic Studies, July 1969.

         "International Diversification of Investment Portfolios," (with M. Sarnat), American Economic Review, September 1970.

         "The Investment-Consumption Decision Under Capital Rationing: An Efficient Set Analysis," (with F. Arditti and R. Grinold), Review of Economic Studies, July 1973.

         "Stochastic Dominance, Efficiency Criteria, and Efficient Portfolios: The Multi -Period case," American Economic Review, December 1973. 

         "Toward Multivariate Efficiency Criteria," (with J. Paroush), Journal of Economic Theory, February, 1974.

         "The Rationale of the Mean-Standard Deviation Analysis: Comment," American Economic Review, June 1974.

         "The Definition of Risk: An Extension," Journal of Economic Theory, February 1977.

         "The Capital Asset Pricing Model and the Investment Horizon," (with D. Levhari), Review of Economics and Statistics, February 1977.

         "Investment Decision Rules, Diversification, and the Investor's Initial Wealth," (with Y. Kroll), Econometrica, September 1978.

         "Equilibrium in an Imperfect Market: A Constraint on the Number of Securities in the Portfolio," American Economic Review, September 1978.

         "Efficiency Analysis with Borrowing and Lending: Criteria and Their Effectiveness," (with Y. Kroll), Review of Economics and Statistics, February 1979.

         "Approximating Expected Utility by a Function of Mean and Variance," (with H.M. Markowitz), American Economic Review, June 1979.

         "Optimal Claims in Automobile Insurance," (with I. Venezia), Review of Economic Studies, 1980.

         "A Model of Parallel Team Strategy in Product Development," (with F. Arditti), American Economic Review, December 1980.

         "Stochastic Dominance and the Investment Horizon with Riskless Assets," (with A. Levy), Review of Economic Studies, 1982.

         "The Capital Asset Pricing Model: Theory and Empiricism," The Economic Journal, March 1983.

         "Multivariate Decision Making," (with A. Levy), Journal of Economic Theory, February 1984.

         "Experimental Tests of the Separation Theorem and the Capital Asset Pricing Model," (with Y. Kroll and A. Rapoport), American Economic Review, June 1988.

         "Two-Moment Decision Models and Expected Utility Maximization: Comment," American Economic Review, June 1989.

         "Further Tests of the Separation Theorem and the Capital Asset Pricing Model," (with Y. Kroll), American Economic Review, 1992.

         "A Comment of Rothschild and Stiglitz's "Increasing Risk: I. A Definition"," (with M. Leshno and Y. Spector) Journal of Economic Theory, November 1997.

         "Investment Talent and the Pareto Wealth Distribution: Theoretical and Experimental Analysis," (with M. Levy), Review of Economics and Statistics, 2003.

         "First Degree Stochastic Dominance Violations: Decision Weights and Bounded RationalityThe Economic Journal, 2008.

         "The Relationship of Rules of Thumb to the Internal Rate of Return: A Restatement and Generalization," (with M. Sarnat), Journal of Finance, June 1969.

         "A Utility Function Depending on the First Three Moments," Journal of Finance, September 1969.

         "The Demand for Assets Under Conditions of Risk," Journal of Finance, March 1973.

         "Valuation, Leverage and the Cost of Capital in the Case of Depreciable Assets," (with F. Arditti), Journal of Finance, June 1973.

         "Diversification, Portfolio Analysis and the Uneasy Case for Conglomerate Mergers," (with M. Sarnat), Journal of Finance, September 1970.

         "Two Period Portfolio Selection and Investors' Discount Rates," (with M. Sarnat), Journal of Finance, June 1971.

         "Ordering Uncertain Options with Borrowing and Lending," (with Y. Kroll), Journal of Finance, May 1978.

         "Stochastic Dominance: A Note," (with Y. Kroll), Journal of Finance, June 1982.

         "Stochastic Dominance Rules for Truncated Normal Distributions: A Note," Journal of Finance, December 1982.

         "Economic Evaluation of Voting Power of Common Stock," Journal of Finance, March 1983.

         "Mean-Variance versus Direct Utility Maximization," (with Y. Kroll and H. Markowitz), Journal of Finance, March 1984.

         "Ordering Uncertain Options Under Inflation," (with A. Levy), Journal of Finance, September 1984.

         "Upper and Lower Bounds of Put and Call Option Value: Stochastic Dominance Approach," Journal of Finance, September 1985.

         "Does Risk Seeking Drive Stock Prices" (with T. Post), Review of Financial Studies, 2005.

         "Prospect Theory and Mean-Variance Analysis" (with M. Levy), Review of Financial Studies, 2004.

         "Sentiment and Stock Prices: The Case of Aviation Disasters" (with G. Kaplanski), Journal of Financial Economics, February 2010.

         The Aging Population, Retirement and Risk Taking," Management Science, Forthcoming

         

 

 

ARTICLES CALASSIFIED BY JOURNALS

 

Articles in Economic Journals

1.      "The Efficiency Analysis of Choices Involving Risk," (with G. Hanoch), Review of Economic Studies, July 1969.

2.      "A Note on Indifference Curves and Uncertainty," (with M. Sarnat), Swedish Journal of Economics, September 1969.

3.      "Portfolio Selection and Investors' Utility: A Graphical Analysis," (with M. Sarnat), Applied Economics, August 1970.

4.      "International Diversification of Investment Portfolios," (with M. Sarnat), American Economic Review, September 1970.

5.      "The Mean-Variance Criterion and the Efficiency Frontier," (with M. Sarnat), Western Economic Journal, March 1971.

6.      "The Investment-Consumption Decision Under Capital Rationing: An Efficient Set Analysis," (with F. Arditti and R. Grinold), Review of Economic Studies, July 1973.

7.      "Stochastic Dominance Among Log-Normal Prospects," International Economic Review, October 1973.

8.      "Stochastic Dominance, Efficiency Criteria, and Efficient Portfolios: The Multi-Period Case," American Economic Review, December 1973.

9.      "Toward Multivariate Efficiency Criteria," (with J. Paroush), Journal of Economic Theory, February, 1974.

10.  "The Rationale of the Mean-Standard Deviation Analysis: Comment," American Economic Review, June 1974.

11.  "Short Sales and Diversification," Metroeconomica, December 1974.

12.  "Investment Incentives and the Allocation of Resources," (with M. Sarnat), Economic Development and Cultural Change, April 1975.

13.  "The World Oil Crisis: A Portfolio Interpretation," (with M. Sarnat), Economic Inquiry, September 1975.

14.  "The Definition of Risk: An Extension," Journal of Economic Theory, February 1977.

15.  "The Capital Asset Pricing Model and the Investment Horizon," (with D. Levhari), Review of Economics and Statistics, February 1977.

16.  "Investment Decision Rules, Diversification, and the Investor's Initial Wealth," (with Y. Kroll), Econometrica, September 1978.

17.  "Equilibrium in an Imperfect Market: A Constraint on the Number of Securities in the Portfolio," American Economic Review, September 1978.

18.  "Inflation, Depreciation and Optimal Production," (with Y. Landskroner), European Economic Review, 1979.

19.  "Efficiency Analysis with Borrowing and Lending: Criteria and Their Effectiveness," (with Y. Kroll), Review of Economics and Statistics, February 1979.

20.  "Approximating Expected Utility by a Function of Mean and Variance," (with H.M. Markowitz), American Economic Review, June 1979.

21.  "Optimal Claims in Automobile Insurance," (with I. Venezia), Review of Economic Studies, 1980.

22.  "A Model of Parallel Team Strategy in Product Development," (with F. Arditti), American Economic Review, December 1980.

23.  "The Capital Asset Pricing Model and the Investment Horizon: Reply," (with D. Levhari), Review of Economics and Statistics, 1981.

24.  "Stochastic Dominance and the Investment Horizon with Riskless Assets," (with A. Levy), Review of Economic Studies, 1982.

25.  "The Capital Asset Pricing Model: Theory and Empiricism," The Economic Journal, March 1983.

26.  "Multivariate Decision Making," (with A. Levy), Journal of Economic Theory, February 1984.

27.  "Experimental Tests of the Separation Theorem and the Capital Asset Pricing Model," (with Y. Kroll and A. Rapoport), American Economic Review, June 1988.

28.  "Two-Moment Decision Models and Expected Utility Maximization: Comment," American Economic Review, June 1989.

29.  "The Formation of Stock Return Volatility Expectations After the Crash," (with D. J. Yoder), Economic Letters, 1991.

30.  "Rational Expectation, Firm Size and Sample Selection Bias," (with D. Gunthorpe), Economic Letters, 37, 1991.

31.  "Arrow-Pratt Measures of Risk-Aversion: The Multivariate Case," (with A. Levy), International Economic Review, November, 1991.

32.  "Further Tests of the Separation Theorem and the Capital Asset Pricing Model," (with Y. Kroll), American Economic Review, 1992.

33.  "A Stochastic Dominance Analysis of Trading Losses from Using Sample Estimates of the Variance in the Black-Scholes Model," (with J. Yoder), Economic Letters, December 1992.

34.  "Absolute and Relative Risk Aversion: An Experimental Study," Journal of Risk and Uncertainty, 1994.

35.  "A Microscopic Model of the Stock Market: Cycles, Booms, and Crashes," (with M. Levy and S. Solomon), Economic Letters, May 1994.

36.  "Abnormal Expected Utility and Event Studying Abnormal Returns," (with D. GunthorpeEconomic Letters, 1994.

37.  "Definition of Risk: Decreasing Absolute Risk Aversion," (with Y. Kroll, M. Leshno, and Y. Spector), Journal of Mathematical Economics, 1995.

38.  "Misuse and Optimum Inspecting Strategy in Agency Problems," (with B. Barlev), Metroeconomica, 1996.

39.  "Correlation and the Time Interval Over Which the Variables are Measured," (with G. Schwarz), Journal of Econometrics, 1997.

40.  "Risk and Return: An Experimental Analysis," International Economic Review, 1997.

41.  "A Comment of Rothschild and Stiglitz's "Increasing Risk: I. A Definition"," (with M. Leshno and Y. Spector) Journal of Economic Theory, November 1997.

42.  "Stochastic Dominance and Prospect Dominance with Subjective Weighting Functions," (with Z. Wiener) Journal of Risk and Uncertainty, 1998.

43.  "Testing for Risk Aversion: a Stochastic Dominance Approach (with M. Levy) Economic Letters, 2001.

44.  "Arrow-Pratt Risk Aversion, Risk Premium and Decision Weights," (with M. Levy), Journal of Risk and Uncertainty, 2002.

45.  "Investment Talent and the Pareto Wealth Distribution: Theoretical and Experimental Analysis," (with M. Levy), Review of Economics and Statistics, 2003.

46.  "Potential Effect of Elimination of Tax Discrimination between Israeli and Foreign Securities on Composition of Public Portfolio of Financial Assets" (with G. Benita), The Economic Quarterly, 2006 (Hebrew)

47.  "First Degree Stochastic Dominance Violations: Decision Weights and Bounded RationalityThe Economic Journal, 2008.

48.  "Bonds versus Stocks: Investors' Age and Risk Taking" (with T.Bali, O. Dmirtas and A. Wolf), Journal of Monetary Economics, September 2009.

 

 

Articles in Financial Journals

1.      "The Connection Between Pre-Tax and Post-Tax Rates of Return," Journal of Business, October 1968.

2.      "A Note on the Payback Method," Journal of Financial and Quantitative Analysis, December 1968.

3.      "The Relationship of Rules of Thumb to the Internal Rate of Return: A Restatement and Generalization," (with M. Sarnat), Journal of Finance, June 1969.

4.      "A Utility Function Depending on the First Three Moments," Journal of Finance, September 1969.

5.      "Relative Effectiveness of Efficiency Criteria for Portfolio Selection," (with G.Hanoch), Journal of Financial and Quantitative Analysis, March 1970.

6.      "Efficient Portfolio Selection with Quadratic and Cubic Utility," (with G. Hanoch), Journal of Business, April 1970.

7.      "Diversification, Portfolio Analysis and the Uneasy Case for Conglomerate Mergers," (with M. Sarnat), Journal of FinanceSepetmber 1970.

8.      "Alternative Efficiency Criteria: An Empirical Analysis," (with M. Sarnat), Journal of Finance, December 1970.

9.      "A Note on Portfolio Selection and Investors' Wealth," (with M. Sarnat), Journal of Financial and Quantitative Analysis, January 1971.

10.  "Two Period Portfolio Selection and Investors' Discount Rates," (with M. Sarnat), Journal of Finance, June 1971.

11.  "A Comment on Payback: A Reply," Journal of Financial and Quantitative Analysis, September 1971.

12.  "Risk, Dividend Policy and the Optimal Pricing of a Rights Offering," (with M. Sarnat), Journal of Money, Credit and Banking, November 1971.

13.  "Pre-Tax and Post-Tax Discount Rates," (with F. Arditti), Journal of Business FinanceWinter 1971.

14.  "Distribution Moments and Equilibrium: A Comment," (with Fred. D. Arditti), Journal of Financial and Quantitative Analysis, January 1972.

15.  Investment Performance in an Imperfect Securities Market and the Case for Mutual Funds," (with M. Sarnat), Financial Analysts Journal, March-April 1972.

16.  "Safety First an Expected Utility Principle," (with M. Sarnat), Journal of Financial and Quantitative Analysis, June 1972.

17.  "The Demand for Assets Under Conditions of Risk," Journal of Finance, March 1973.

18.  "Valuation, Leverage and the Cost of Capital in the Case of Depreciable Assets," (with F. Arditti), Journal of Finance, June 1973.

19.  "Safety-First and the Expected Utility Principle - Reply," (with M. Sarnat), Journal Financial and Quantitative Analysis, December 1974.

20.  "Valuation, Leverage and the Cost of Capital in the Case of Depreciable Assets: A Reply," (with F. Arditti), Journal of Finance, March 1975.

21.  "Portfolio Efficiency Analysis in Three Moments: The Multi-Period Case," (with F. Arditti), Journal of Finance, September 1975.

22.  "Taxes, Uncertainty and Optimal Dividend Policy," (with F. Arditti and M. Sarnat), Financial ManagementSpring 1976.

23.  "Stochastic Dominance with Riskless Assets," (with Y. Kroll), Journal of Financial and Quantitative Analysis, December 1976.

24.  "The Demand for Risky Assets Under Conditions of Risk: Reply," Journal of Finance, June 1977.

25.  "Taxes, Capital Structure and the Cost of Capital: Some Extensions," (with F. Arditti and M. Sarnat), The Quarterly Review of Economics and Business, Summer 1977.

26.  "The Weighted Average Cost of Capital as a Cutoff Rate: A Critical Analysis of the Classical Text Book Weighted Average," (with F. Arditti), Financial ManagementFall 1977.

27.  "A Pedagogic Note on Alternative Formulations of the Goal of the Firm," (with M. Sarnat), Journal of Business, October 1977.

28.  "Ordering Uncertain Options with Borrowing and Lending," (with Y. Kroll), Journal of Finance, May 1978.

29.  "Exchange Rate Risk and the Optimal Diversification of Foreign Currency Holding," (with M. Sarnat), Journal of Money, Credit and Banking, November 1978.

30.  "Leasing, Borrowing and Financial Risk," (with M. Sarnat), Financial ManagementWinter 1978.

31.  "Stochastic Dominance with a Riskless Asset: An Imperfect Market," (with Y. Kroll), Journal of Financial and Quantitative Analysis," June 1979.

32.  "Total Risk, Diversifiable Risk and Nondiversifiable Risk: A Pedagogic Note," (with M. Ben-Horim), Journal of Financial and Quantitative Analysis, June 1980.

33.  "Sampling Errors and Portfolio Efficient Analysis," (with Y. Kroll), Journal of Financial and Quantitative Analysis, September 1980.

34.  "The Capital Asset Pricing Model, Inflation and the Investment Horizon: The Israeli Experience," Journal of Financial and Quantitative Analysis, September 1980.

35.  "The CAPM and Beta in an Imperfect Market," The Journal of Portfolio Management, Winter 1980.

36.  "The Information Content of Accounting Data and the Management of Security Portfolios," Journal of Business Finance and Accounting, 1981.

37.  "Optimal Portfolio of Foreign Currencies with Borrowing and Lending," Journal of Money, Credit and Banking, August 1981.

38.  "A Test of the CAPM via a Confidence Level Approach," Journal of Portfolio Management, Fall 1981.

39.  "The CAPM and the Investment Horizon," Journal of Portfolio Management, Winter 1981.

40.  "Risk, Inflation and Liquidity Preference: A Simulation of the Portfolio Demand for Money," (with M. Sarnat), The Quarterly Review of Economics and Business, Spring 1982.

41.  "Stochastic Dominance: A Note," (with Y. Kroll), Journal of Finance, June 1982.

42.  "The Yield Curve and Expected Inflation," Financial Analysts Journal, November- December 1982.

43.  "Stochastic Dominance Rules for Truncated Normal Distributions: A Note," Journal of Finance, December 1982.

44.  "Management of Accounts Receivable Under Inflation," (with M. Ben-Horim), Financial Management, Spring 1983. This paper has been chosen as the best paper published on the topic and has won the Credit Foundation and Financial Management 1984 Award.

45.  "Economic Evaluation of Voting Power of Common Stock," Journal of Finance, March 1983.

46.  "Measuring Risk and Performance over Alternative Investment Horizons," Financial Analysts Journal, March-April 1984.

47.  "Mean-Variance versus Direct Utility Maximization," (with Y. Kroll and H. Markowitz), Journal of Finance, March 1984.

48.  "Another Look at the Capital Asset Pricing Model," Quarterly Review of Economics and BusinessSummer 1984.

49.  "Ordering Uncertain Options Under Inflation," (with A. Levy), Journal of Finance, September 1984.

50.  "Upper and Lower Bounds of Put and Call Option Value: Stochastic Dominance Approach," Journal of Finance, September 1985.

51.  "Testing P/E Ratio Filters by Stochastic Dominance Rules," (with Zvi Lerman), Journal of Portfolio ManagementWinter 1985.

52.  "Financial Break-Even Analysis and the Value of the Firm," (with R. Brooks), Financial ManagementAutumn, 1986.

53.  "Upper and Lower Bounds of Put and Call Option Value: Stochastic Dominance Approach - Erratum", The Journal of Finance, December 1986.

54.  "Using Stochastic Dominance to Evaluate the Performance of Portfolios with Options," (with R. Brooks and J. Yoder), Financial Analysts Journal, March-April 1987.

55.  "Futures, Spots, Stocks and Bonds: Multi-Assett Portfolio Analysis," The Journal of Futures Markets, June 1987.

56.  "An Empirical Test of the Black-Scholes Pricing Model: A Confidence Intervals Approach," (with Young Hoon Byun), Journal of Accounting, Auditing and FinanceFall 1987.

57.  "Equilibrium Under Uncertain Inflation," (with A. Levy), Journal of Financial and Quantitative Analysis, September 1987.

58.  "Option Valuation Bonds: A Comparative Analysis," Studies in Banking and Finance, 1988.

59.  "Using Accounting Data for Portfolio Management," (with B. Barlev and W. Denny), The Journal of Portfolio Management, Spring 1988.

60.  "Testing the Predictive Power of Ex-Post Efficient Portfolios," (with Z. LermanJournal of Financial Research, Fall 1988.

61.  "The Benefits of International Diversification in Bonds," (with Z. Lerman), Financial Analysts Journal, September/October, 1988.

62.  "An Empirical Analysis of the Term Premiums Using Stochastic Dominance," (with R. Brooks) Journal of Banking and Finance, 13 (1989).

63.  "The Coupon Effect on Term Premiums," (with R. Brooks and M. Livingston) The Journal of Financial ResearchSpring 1989.

64.  "Applying the Black-Scholes Model After Large Market Shocks," (with J. Yoder), Journal of Portfolio Management, Fall 1989.

65.  "A Simple Analysis of the Contingent Claims Approach to Valuing Firm Commitment Underwriting Contracts," (with S. Bae), Journal of Financial and Strategic Decisions, Spring 1990.

66.  "The Valuation of Firm Commitment Underwriting Contracts for Seasoned Equity Issues," (with S. Bae), Financial Management, 1990.

67.  "Option Valuation: An Extension of the Binomial Model," (with A. Levy) Advance in Futures and Options Research, JAI Press, March 1991.

68.  "Small Firm Effect: Are There Abnormal Returns in the Market," Journal of Accounting, Auditing and Finance, 1990.

69.  "Possible Explanation of no-Synergy Merger and Small Firm Effect by Generalized CAPM," Review of Quantitative Finance and Accounting, January 1991.

70.  "Portfolio Insurance: Does it Pay?" (with R. Brooks), Advances in Futures and Option Research, JAI Press, 1993.

71.  "Active Timing Decisions of Equity Mutual Funds," (with R. Radcliff and R. Brooks), Financial Services Review, 1993.

72.  "Optimal Investment Proportions in Senior Securities and Equities Under Alternative Holding Periods," (with D. Gunthorpe), Journal of Portfolio Management, Summer 1993.

73.  "The Behavior of Option Implied Standard Deviations Around Mergers and Acquisition Announcement," (with J. Yoder), The Financial Review, May 1993.

74.  "Market Reaction to Bond Downgradings Followed by Chapter 11 Filings" (with K. Bi), Financial ManagementAutumn 1993.

75.  "Investment Banker Prestige, Competition, and Underwriter Compensation in U.S. Seasons New Equity Issues," (with Sung C. BaeGlobal Finance Journal, 5 (Summer 1994).

76.  "Portfolio Composition and the Investment Horizon," (with D. Gunthorpe), Financial Analysts Journal, January/February 1994.

77.  "Forward Exchange Bias, Hedging and the Gains from International Diversification of Investment Portfolios," (with K.C. Lim), Journal of International Money and Finance, 1994.

78.  "Beta and an Investor's Holding Period," (with D. Gunthorpe and S. wachowicz) Review of Business, Spring 1994.

79.  "Are Term Premiums Risk Premiums," (with R. Brooks and M. Livingston), Advances of Quantitative Analysis of Finance and Accounting, Volume 3, Part A, 1995.

80.  "Trading Losses from Using a Sample Estimate of the Variance in the Black-Scholes Model: A Simulation Analysis," (with J. Yoder), Advances in Quantitative Analysis of Finance and Accounting, 1995.

81.  "Stock Market Volatility After the Crash," (with J. Yoder), Research in Finance, 1995.

82.  "Signaling Theory and Risk Perception: An Experimental Study," (with E. Lazarovich-Porat), Journal of Economics and Business, 1995.

83.  "Tests of the Efficiency of the U.S. Rights Offering Market: An Option Pricing," (with Sung C. Bae), Review of Quantitative Finance and Accounting, Volume 6, No. 3, 1996.

84.  "Investment Diversification and Investment Specialization and the Assumed Holding Period," Applied Mathematical Finance, 1996.

85.  "Cross Asset Versus Time Diversification," (with Y. Spector), Journal of Portfolio Management, 1996.

86.  "Optimal Oil Production: A Portfolio Approach" (with A. Cohen), Journal of Energy, Finance, and Development, 1996.

87.  "A Stochastic Dominance Approach to Evaluating Alternative Estimators of the Variance in the Black-Scholes Model," (with J. Yoder), Applied Financial Economics, 1996.

88.  "The Danger of Assuming Homogeneous Expectations," with M. Levy, Financial Analyst Journal, May/June 1996. A summary of this paper is published in The CFA Digest, Winter 1997.

89.  "The Behavior of Option Prices Around Merger and Acquisition Announcements" (with J. Yoder), Advances in Investment Analysis and Portfolio Management, 1997.

90.  "The Economic Significance of the Cross-Sectional Autoregressive Model: Further Analysis" (with K. Lim), , Review of Quantitative Finance and Accounting , 1998.

91.  "On the Risk of Stocks in the Long Run: Revisited (with A. Cohen) Journal of Portfolio Management, Spring 1998.

92.  "A Negative Equilibrium Interest Rate" (with M. Levy and A. Edry), Financial Analyst Journal, April 2003.

93.  "Asset Returns' Distributions and the Investment Horizon" (with R. Duchin), Journal of Portfolio Management, 2004.

94.  "Time Diversification and Stochastic Dominance" (with C.W. Hodges and J.A. Yoder), Research in Finance, 2004.

95.  "'Homemade Leverage': Theory versus Experimental Evidence" (with M. Levy and N. Alisof), Journal of Portfolio Management, 2004.

96.  "Prospect Theory and Mean-Variance Analysis" (with M. Levy), Review of Financial Studies, 2004.

97.  "Does Risk Seeking Drive Stock Prices" (with T. Post), Review of Financial Studies, 2005.

98.  "The Value of Financial Disclosure and Regulation: A Portfolio Approach," (with M. Levy and G. Benita) Journal of Portfolio Management, 2006.

99.  "The Log-Normal Asset Pricing Model (with A.Cohen) Reaserch In Financial Economic, 2005.

100.     "Capital Asset Prices with Heterogeneous Beliefs," (with M. Levy and G. Benita) Journal of Business, 2006.

101.    Experimental Economics and the Theory of Finance," Encyclopedia in Finance, (Editors: C.F. Lee and A.C. Lee), 2006,Second Edition, forthcoming.

102.    "Basel's Value-at-Risk Capital Requirement Regulation: An Efficiency Analysis," (with G. Kaplanski), Journal of Banking and Finance , 2007.

103.    "Risk Aversion and Skewness Preference" (with T. Post and P. Vliet), Journal of Banking and Finance, 2008.

104.    "A Model Independent Measure of Aggregate Idiosyncratic Risk (with T. Bali and N. Cakici)" Journal of Empirical Finance, 2008.

105.    "Nonlinear Mean Reversion in Stock Prices (with T. Bali and O. Demirtas), Journal of Banking and Finance, 2008.

106.    "Is There an Intertemporal Relation Between Downside risk and Expected Returns?" (With T.Bali and O. Demirtas), Journal of Financial and Quantitative Analysis , 2009.

107.    "The Safety First Expected Utility Model: Experimental Evidence and Economic Implications, Journal of Banking and Finance " (with M. Levy), Journal of Banking and Finance, 2009.

108.    "Mean Variance versus Naïve Diversification" (with Ran Ducin), in The Handbook of  Portfolio Construction : Contemporary Applications of Markowitz Techniques" (Editor: J. Guerard),New York, Springer  Publishing, 2009.

109.    "Markowitz Versus the Talmudic Portfolio Diversification Strategies" (with RDucin), Journal of Portfolio Management, 2009.

110.    "Exploitable Predictable Irrationality: The FIFA World Cup Effect on the U.S. Stock Market," (with G. Kaplanski), Journal of Financial and Quantitative Analysis, 2010.

111.    "Sentiment and Stock Prices: The Case of Aviation Disasters" (with G. Kaplanski), Journal of Financial Economics, 2010.

112.    "The Holiday and Yom Kippur War sentiment Effects: The Tel Aviv Stock Exchange (TASE)", Quantitative Finance, December 2010.

113.    "Cumulative Prospect Theory: Tests Using the Stochastic Dominance Approach" in Behavioral Finance: Investors, Corporations, and Markets, (eds., Baker and Nofsinger), Wiley 2010.

114.    "The Two-Parameter Long-Horizon Value-at-Risk", Frontiers in Finance and Economics, 2010.

115.    "The CAPM is Alive and Well: A Review and Synthesis", European Financial Management, 2010.

116.    "The Small Firm Effect: A Financial Mirage?" (with M. Levy), Journal of Portfolio Management, 2011.

117.    "Estimating Prospect Theory's Decision Weights with Stochastic Dominance: The Small Probability Case" (with M. Orkan), Annals of Financial Economics,2012.

118.    "Two Paradigms and Nobel Prizes in Economics: A Contradiction or Coexistence?" (with E.D. Giorgi and T. Hens), European Financial Management,2011

119.    Executive Short-Term Intensive, Risk-Taking and Leverage-Neutral Incentive Scheme, (with G. Kaplanski, Annals of Financial Economics, 2012.

120.    Real Estate Prices: An International Study of Seasonality Sentiment Effect, (with G. Kaplanski), Journal of Empirical Finance, 2012.

121.    Sentiment, Irrationality and Market Efficiency: The Case of the 2010 FIFA World Cup," (with G. Kaplanski), Journal of Behavioral and Experimental Economics, 2014.

122.    The Benefits of Differential Variance -Based Constraints in Portfolio Optimization (with M. Levy), European Journal of Operation Research, 2014.

123.    The Home Bias is Here to Stay, (with M. Levy), Journal of Banking and Finance, 2014.

124.    For Better Performance: Constrain Portfolio Weights Differentially and Globally (with M. Levy), Journal of Investment Management, 2014.

125.    Value at Risk capital requirement regulation, risk taking and Asset Allocation: A Mean-Variance Analysis (with G. Kaplanski), European Journal of Finance, 2015.

126.    Do Happy People Make Optimistic Investors? (with G. Kaplanski, C. Veld, and Y. Veld-Merkoulova), Journal of Financial and Quantitative Analysis ,2015.

127.    "Keeping up with the joneses and optimal diversification," (with M. Levy), Journal of Banking and Finance, 2015.

128.    "Trading breaks and asymmetric information: The option markets," Journal of Banking and Finance, 2015.

 

Articles in Management and Decision Science Journals

1.      "Portfolio Performance and the Investment Horizon," Management Science, August 1972.

2.      "Multi-Period Stochastic Dominance," (with J. Paroush), Management Science, December 1974.

3.      "Multi-Period Consumption Decision Under Conditions of Uncertainty," Management Science, July 1976.

4.      "Does Diversification Always Pay" in E. Elton and M. Gruber (eds.) TIMS Study in the Management Science, Essays in Honor of Harry Markowitz, Vol. 11, 1979.

5.      "Sample vs. Population Mean-Variance Efficient Portfolios," (with Y. Kroll), Management Science, November 1980.

6.      "Inflation and the Trade Credit Period," (with M. Ben-Horim), Management Science, June 1982.

7.      "The Effects of Variable and Fixed Transaction Costs on Optimal Investment Decisions," (with R. Lazimy), Decision Science, 1983.

8.      "A Parametric Approach to Stochastic Dominance: The Lognormal Case," (with Y. Kroll) Management Science, March 1986.

9.      "New Product Screening Via the Intention to Buy Scale" (with Chezy Ofir), Decision ScienceWinter 1986.

10.  "Market Reaction to Quarterly Earnings' Announcements: A Stochastic Dominance Based on Market Efficiency," (with H. Falk), Management Science, Vol. 35, No. 4, April 1989.

11.  "The Mean-Coefficient of Variation Rule: The Lognormal Case," Management Science, June 1991.

12.  "Stochastic Dominance and Expected Utility: Survey and Analyses," Management Science, April 1992.

13.  "The Capital Asset Pricing Model with Diverse Holding Periods," (with P.A. Samuelson), Management Science, November 1992.

14.  "Regression, Correlation, and the Time Interval: Additive-Mutiplicative Framework" (with I. Guttman and I. Tkatch), Management Science, 2001.

15.  "Prospect Theory: Much Ado About Nothing?" (with M. Levy), Management Science, 2002.

16.  "Preferred by 'All' and Preferred by 'Most Decision Makers: Almost Stochastic Dominance" (with M. Leshno), Management Science, 2002.

17.  "Economically Relevant Preferences for All Observed Epsilon (with M. Leshno and B. Liebovitz) Annals of Operation Research, 2010.

18.  The Aging Population, Retirement and Risk Taking, Management Science, Forthcoming.

 

 

Other Journals

1.      "Changes in Wage Differentials by Occupational Groups, 1957/8-1963-4," Bank of Israel Bulletin, No. 30, May 1968.

2.      "Investment Criteria in the Public Sector," Economic Quarterly, December 1968 (Hebrew).

3.      "Methods of Calculating Premiums for Motor Vehicle Insurance in Israel," BituahIsrael Insurance Review, No. 9, April 1969 (Hebrew).

4.      "Investment Performance: Social Versus Private Consideration," Management: The Israel Management Center Quarterly, No. 4, October 1969 (Hebrew).

5.      "Profitability of Savings Through Insurance Companies," (with J. Kahane), Journal of Risk and Insurance, June 1970.

6.      "Evaluation of the Investment via Insurance Companies in Israel," (with J. Kahane), Economic Quarterly, June 1970 (Hebrew).

7.      "The Portfolio Analysis of Multiperiod Capital Investment Under Conditions of Risk," (with M. Sarnat), The Engineering Economist, Winter 1970.

8.      "The Impact of the Six Day War on the Electronics and Metal Industry," (with M. Sarnat), The Levi Eshkol Institute for Economic, Social and Political Research, 1973.

9.      "Government Intervention, Investment Incentives and the Price of Foreign Exchange," The Economic Quarterly, September 1973 (Hebrew).

10.  "The Revenue Structure of Local Governments in Israel-Future Prospects," (with B. Barlev), in J. Steinmann (ed.) The Revenue Structure of Local Government in Israel, State of Israel, Ministry of Interior, Jerusalem, 1974 (Hebrew).

11.  "Regulation in the Insurance Industry: Determination of Premiums in Automobile Insurance", (with Y. Kahane), Journal of Risk and Insurance, December 1974.

12.  "Devaluation, Risk and Portfolio Analysis of Investments," (with M. Sarnat), in E.J. Elton and M.J. Gruber (eds.), International Capital Markets, North-Holland, 1975.

13.  "Risk, Diversification and the Composition of the Market Portfolio: An Empirical Analysis of the Tel-Aviv Stock Exchange," (with M. Sarnat), Bank of Israel Economic Review, No. 42, January 1975 (Hebrew and English).

14.  "An Analysis of the General Property Tax (Arnona Klalit)," (with B. Barlev), City and Region, February 1975 (Hebrew).

15.  "Loss Carryback and Carryover Provisions: Effectiveness and Economic Implications," (with B. Barlev), National Tax Journal, June 1975.

16.  "Investment Incentives and Resource Allocation," (with M. Sarnat), The Economic Quarterly, December 1975 (Hebrew).

17.  "Devaluation, Risk, Portfolio Balance and International Capital Flows," (with M. Sarnat), Konjunkturpolitik, No. 4, 1976.

18.  "The Make or Buy Decision," (with M. Sarnat), Journal of General ManagementAutumn 1976.

19.  "Multi-Period Stochastic Dominance with One-Period Parameters, Liquidity Preference and Equilibrium in the Log-Normal Case," in Alan Blinder and Philip Friedman (eds.), Natural Resources, Uncertainty, Dynamics and Trade: Essays in Honor of Rafael Lusky, Academic Press, 1977.

20.  "Choosing the Best Advertising Appropriate When Appropriations Interact Over Time," (with J.L. Simon), Research in Marketing, Vol. 1, June 1977. Chosen as the "Best Theoretical/Empirical Paper" (Winner) by the Association for Information and Decisional Science Conference, Chicago, October 1977.

21.  "Project Evaluation, Government Intervention and the Price of Foreign Exchange," Revenue Economique, January 1979.

22.  "Taxation and Investments Under Inflation," (with Y. Landskroner), The Economic Quarterly, September 1979 (Hebrew).

23.  "On the Variability of Accounting Income Numbers," (with B. Barlev), Journal of Accounting ResearchAutumn 1979.

24.  "Stochastic Dominance Criteria: A Review and Analysis" (with Y. Kroll), Research in Finance, Vol. 2, JAI Press, 1980.

25.  "Financial Management in an Inflationary Economy," (with M. Ben-Horim) in E.I. Altman, ed., Financial Handbook, fifth edition, John Wiley & Sons, 1981.

26.  "Lease Financing: Cost Versus Liquidity." The Engineering Economist, (with Y. Landskroner), Fall 1981.

27.  "Evaluating Estimators Using Stochastic Dominance Rules: The Variance of a Normal Distribution," (with M. Ben-Horim), Communication in Statistics, 1982.

28.  "Capital Structure, Inflation and the Cost of Capital in Israeli Industry: 1964-1978," Bank of Israel Survey, (based on Maurice Falk Institute of Economic Research Discussion Paper No. 795, March 1979), Vol. 53, 1982.

29.  "Optimal Multi-period Insurance Contracts," (with I. Venezia), Insurance: Mathematics and Economics, 1983.

30.  "International Portfolio Diversification," (with M. Sarnat), in R. Herring (ed.), Managing Foreign Exchange Risk, Academic Press, 1983.

31.  "Voting Power, the CAPM, and Market Efficiency," in Robert F. Lanzillotti and Yoram C. Peles (Editors), Research in Finance, Supplement 1, 1984.

32.  "Stochastic Dominance and Parameter Estimation: The Case of Symmetric Stable Distributions," (with M. Ben-Horim), Insurance: Mathematics and Economics, 1984.

33.  "Financial Management in an Inflationary Economy," (with M. Ben-Horim), Financial Handbook, Sixth Edition, John Wiley and Sons, 1986, Section 15, pp. 1-41. This a revision of the paper which was published in the Fifth Edition.

34.  "Estimate of the Cost of Capital in the Israeli Industry," (with Z. LermanBank of Israel (Hebrew 1985, pp. 65-94, English 1987.

35.  "Stochastic Dominance," The New Palgrave: A Dictionary of Economic Theory and Doctrine, Macmillan Press, 1987.

36.  "Investment, Capital Structure and Cost of Capital: Revisited," (with Y. Kroll) in Studies in the Economics of Uncertainty: In Honor of Josef Hadar (Eds. B. Fomby and K. Seo), Springer VerlagNew York, 1988.

37.  "The Stochastic Dominance Estimation of Default Probability," (with M. Broske) in Studies in the Economics of Uncertainty: In Honor of Joseph Hadar (Eds. B. Fomby and K. Seo) Springer Verlag, New York, 1988.

38.  "Experimental Tests of the Mean-Variance Model for Portfolio Selection," (with Y. Kroll and A. Rapoport), Organizational Behavior and Human Decision Processes, 1988.

39.  "Optimal Term Life Insurance - A Practical Solution," (with J. Simon and N. Doherty) Insurance, Mathematics and Economics, 7, 1988.

40.  "A Generalization that Makes Useful the Dorfman-Steiner Theorem with Respect to Advertising," (with J. Simon) Managerial and Decision Economics, 1989.

41.  "Agency Costs When the Agent's Talent is Unknown: A Bayesian Approach," Information Comercial Espanola, Revisita de Economia, December 1990.

42.  "Microscopic Simulations of the Stock Market: The Effect of Microscopic Diversity," (with M. Levy and S. Solomon), Journal de Physique I., August, 1995.

43.   "Disclosure of Derivative Risk" Executive ,1995.

44.   "The Management OF Foreign Exchange Reserves with Balance of Payments and External Debt Considerations: The Case of Israel (with A. Levy),  Falk Institute, Hebrew University, 1998.

45.  "Decision-Making Under Uncertainty: Stochastic Dominance" (with M. Leshno) in Current State in Business Disciplines, Ed. Shri Bhagwan Dahiya, Spellbound Publication PVT. LTD., Rohtale, 2000.

46.  "Experimental Test of the Prospect Theory Value Function : Stochastic Dominance Approach (with M. Levy), Organizational and  Behavior and Human Decision Processes, 2002.

47.  "Stochastic Dominance and Medical Decision Making" (with M. Leshno), Health Care Management Science, 2004.

48. Editor citation: An alleged instance of social professional desirability (with Y.S. Huang , A.Wolf and Y.Wolf) , Journal of Scientometric Research, 2014.

 

Articles Reprinted

1.      "Approximating Expected Utility by Mean and Variance"(with H. Markowitz) in Pioneering Papers of Nobel Memorial Laureates in Economics, Edward Elgar Publishing , LTD,

2.      "The Capital Asset Pricing Model with Diverse Holding Periods," (with P. Samuelson), in The History of Management Thought, Dartmouth Publishing Company,.

3.      "Internationally Diversified Bond and Stock Portfolios," in R. W. Kolb (editor) The International Finance Reader, Kolb Publishing Company, Miami, Florida 1991.

4.      "The Weighted Average Cost of Capital as a Cutoff Rate: A Critical Analysis of Classical Textbook Weighted Average," in Pearson Hunt, Victor L. Andrews and Charles Young (eds.), Financial Management: Cases and Readings, R.D. Irwin.

5.      "The Make or Buy Decision," Handbook for Managers, Uitgevrij Kluwer Publishing Company.

6.      "Taxes, Uncertainty and the Optimal Dividend Policy," in The Chartered Financial Analysts Digest, Summer 1977.

7.      "Devaluation, Risk and the Portfolio Analysis of International Investment," in R. Brealy and G. Rankine (eds.) European Finance Association, l975 Proceedings, North Holland Press, 1976.

8.      "The Efficiency Analysis of Choices Involving Risk," (with G. Hanoch) in W.T. Ziemba and R.G. Vickson (eds.) Stochastic Optimization Models in Finance, Academic Press, New York, l975.

9.      "Investment Criteria in the Public Sector," in A. Van der Hall (ed.) Analysis of Cost- Benefit, Ministry of the Treasury, Jerusalem, l97l.

10.  "Stochastic Dominance with a Riskless Asset: An Imperfect Market," Summary in Referativnyi ZhuralMatematika (Soviet Mathematical Abstracts), No. 9, l980.

11.  "Stochastic Dominance among Log-Normal Prospects," a summary in Zentralblatt fur Mathematik, Akademie der Wissenschaften der DDR, Berlin, Volume 272, l974.

12.  "Investment Performance in an Imperfect Securities Market and the Case for Mutual Funds," in Financial Counseling Study Guide, The American College, l976.

13.  "The World Oil Crisis: A Portfolio Interpretation," in The Chartered Financial Analysts Digest.

14.  "The Relationship of Rules of Thumb to the Internal Rate of Return," in K. Luder (ed.) Capital Investment, Munich: F. Wahler Verlag.

15.  "Diversification, Portfolio Analysis and the Uneasy Case for Conglomerate Mergers," Readings in Financial AnalysisThe Certified General Accountants' Association of Canada.

16.  "The Portfolio Analysis of Multi-Period Investment Under Conditions of Risk," in J.P. Dickinson (ed.) Portfolio Analysis, Farnborough: D.C. Heat Ltd., l974.

17.  "Portfolio Selection and Investors' Utility: A Graphical Analysis," in J.P. Dickinson (ed.) Portfolio Analysis, Farnborough: D.C. Heat Ltd., 1974.

18.  "International Diversification of Investment Portfolios," (with M. Sarnat) in S. Markvidakes (ed.) Readings in International Finance, New YorkLexington Books, 1974.

 


The Hebrew University
The Jerusalem School of Business Administration


e-mail: mshlevy@huji.ac.il
 
Last Updated: 06/01/2015