Moshe (Shiki) Levy is a Full Professor in the Finance and Banking Department at the Hebrew University Business School. He is an expert in finance, and his areas of research include portfolio theory, decision-making under uncertainty, evolution of preferences, social networks, social phase transitions, the utility of health, and econophysics.
Prof. Levy was a Visiting Assistant Professor at UCLA’s Anderson Graduate School of Management. His research has been published in Review of Financial Studies, Management Science, Journal of Financial and Quantitative Analysis, European Journal of Operational Research, Review of Economics and Statistics, and Journal of Economic Theory.
He won the Harry Markowitz JOIM Award for his paper, “A New Perspective on the Validity of the CAPM: Still Alive”, the Michael Milken Prize for Excellence in Teaching, the Abe Grey Award, the Golda Meir Fellowship, the Lady Davis Post-Doctoral Scholarship, and the Wolf Scholarship for Academic Excellency.
Prof. Levy earned his Ph.D. in Economics and Physics from Hebrew University. He holds an M.Sc. in Physics, and a B.Sc. in Mathematics and Physics from Hebrew University.
Prof. Levy teaches the courses Investments and Portfolio Theory and Introduction to Finance. He published the book Microscopic Simulation of Financial Markets: From Investor Behavior to Market Phenomena (Academic Press).
- Publications
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Books
Levy, M., and R. Roll, Mutual Fund Selection: Theory and Practice. Palgrave Macmillan, 2024.
Levy, M., H. Levy, and S. Solomon, Microscopic Simulation of Financial Markets: From Investor Behavior to Market Phenomena, Academic Press, 2000.
Articles
Levy, M. 2024. A unique optimal stock-bond mix for all long-run investors, Annals of Operations Research, forthcoming.
Levy, M. 2024. Shrinking the size effect. Journal of Portfolio Management, forthcoming.
Levy, M. and Levy, H., 2024. The marginal cost of capital: a portfolio theory perspective. The European Journal of Finance, forthcoming.
Levy, M. 2024. Does constant asset allocation dominate buy-and-hold? Finance Research Letters, forthcoming.
Levy, M. 2024. Can under-diversification explain the size effect? Journal of Investment Management, forthcoming.
Levy, M. 2024. Projects with no cost of capital. Financial Management, forthcoming.
Levy, M. and Levy, H., 2024. Market equilibrium and the cost of capital with heterogeneous investment horizons. Risks, forthcoming.
Levy, H. and Levy, M., 2024. Option pricing with the logistic return distribution, Journal of Risk and Financial Management, 17(67), 1-17.
Levy, M. 2024. Relative risk aversion must be close to 1, Annals of Operations Research, forthcoming.
Levy, M. and Roll, R. 2023. “The Shrinkage Adjusted Sharpe Ratio: An Improved Method for Mutual Fund Selection”, Journal of Investing, 32(2), 7-23.
Levy, M. 2023. “The cost of investment hubris”, the Journal of Portfolio Management, forthcoming.
Levy, M., 2023. The Deadweight Loss of Active Management. The Journal of Investing, 32(4),17-41.
Levy, M. and Lo, A. 2022. “Hamilton’s rule in economic decision-making”. Proceedings of the National Academy of Sciences, 119 (16).
Levy, M. and Roll, R. 2022. "The Shrinkage Adjusted Sharpe Ratio: An Improved Method for Mutual Fund Selection", Journal of Investing, forthcoming.
Levy, M. 2022. “An evolutionary explanation of the Allais paradox”. Journal of Evolutionary Economics, July, 1-30.
Levy, M. and Levy H. 2022. "Exponential Glide Paths", Journal of Investment Management, 20(1).
Levy, M. 2021. “An Inter-Temporal CAPM based on First order Stochastic Dominance”, European Journal of Operational Research.
Levy, H. and Levy, M., 2021. “Stocks versus bonds for the long run when a riskless asset is available”. Journal of Banking and Finance, 133, p.106275.
Levy, M. and Levy H., 2021, "Prospect Theory, Constant Relative Risk Aversion, and the Investment Horizon”, PLoS ONE 16(4).
Levy, M., 2020. Comment on “aging population, retirement, and risk taking”. Management Science, 66(6), pp.2787-2791.
Levy, M. and Levy H. "The Cost of Diversification Over Time, and a Simple Way to Improve Target-Date Funds", Journal of Banking and Finance, forthcoming.
Kelman, G., Levy, M. and Manes, E., 2020, January. Does Our World “weigh” Less Right Now? The Gravitational Pull in a Scientific Collaboration Network is Getting Weaker with Time. In Proceedings of the 53rd Hawaii International Conference on System Sciences.
Levy, M., 2019. Stocks for the log-run and constant relative risk aversion preferences. European Journal of Operational Research, 277(3), pp.1163-1168.
Diecidue, E., Levy, H. and Levy, M., 2019. Probability Dominance. Review of Economics and Statistics, pp.1-44.
Levy M. and R. Roll, 2018, “Generalized Performance Measures: Optimal Overweighing of Fees relative to Sample Returns”, Journal of Portfolio Management, 44, 66-75.
Levy M. 2017, “Measuring Portfolio Performance: Sharpe, Alpha or the Geometric Mean?”, Journal of Investment Management, 15.
Levy M. 2016, “It’s Easy to Beat the Market”, Journal of Investment Management, 14,3.
Levy M. and R. Roll, 2016, “Seeking Alpha? It’s a Bad Guideline for Portfolio Optimization”, Journal of Portfolio Management, 42, 107-112.
Levy, M., & Levy, H., 2015, “Keeping up with the Joneses and optimal diversification”. Journal of Banking and Finance, 58, 29-38.
Levy M. 2015. “An Evolutionary Explanation for Risk Aversion”, Journal of Economic Psychology, 46, 51-61.
Levy M. and R. Roll, 2015, “Possible and Impossible Frontiers”, Critical Finance Review, 4, 139-148.
Diecidue, E., Levy, M., & van de Ven, J. 2015, “No Aspiration to Win? An Experimental Test of the Aspiration Level Model”. Journal of Risk and Uncertainty, 51, 245-266.
Levy M., and G. Kaplanski, 2015, “Portfolio Selection in a Two-Regime World”, European Journal of Operational Research, 242, 514-524.
Levy M., and A. Rizansky, 2014, “The Pricing of Breakthrough Drugs: Theory and Policy Implications”, PLoS ONE, 9(11): e113894.
Levy, H., and M. Levy, 2014, “The Benefits of Differential Variance-Based Constraints in Portfolio Optimization”, European Journal of Operational Research, 234, 372-381.
Levy M., and A. Rizansky, 2014, “Market Failure in the Pharmaceutical Industry and How it can be Overcome: The CureShare Mechanism”, European Journal of Health Economics, 15, 143-156.
Levy, H., and M. Levy, 2014, “The Home Bias is Here to Stay”, Journal of Banking and Finance, 47, 27-40.
Levy H. and M. Levy “For Better Performance: Constrain Portfolio Weights Differentially and Globally”, Journal of Investment Management, 2014, 12, 4.
Levy M., and G. Kaplanski, “Portfolio Selection in a Two-Regime World”, European Journal of Operational Research, 242, 2015, 514-524.
Levy M., “On the Spurious Correlation Between Sample Betas and Mean Returns”, Applied Mathematical Finance, 19, 2012, 341-360.
Levy M., “Co-Monotonicity: Towards a Utility Function Capturing Envy”, Economics Letters, 114, 2012, 16-19.
Levy M., and A. Rizansky, “The Utility of Health and Wealth”, Journal of Health Economics, 31, 2012, 379–392.
Levy M. and R. Roll, “A New Perspective on the Validity of the CAPM: Still Alive”, Journal of Investment Management, 10, 3.
Levy, M. and Y. Ritov, “Mean-Variance Efficient Portfolios with Many Assets: 50% Short”, Quantitative Finance, 11, 2011, 1461-1471.
Levy, M. “Scale-Free Human Migration and the Geography of Social Networks”, Physica A, 389, 2010, 4913-4917.
Levy H., and M. Levy, “The Small Firm Effect: A Financial Mirage?”, Journal of Portfolio Management, 37, 2011, 129-138.
Levy M. and R. Roll, “The Market Portfolio May be Mean-Variance Efficient After All”, Review of Financial Studies, 2010 23(6), 2464-2491.
Levy, H. and M. Levy, “The SafetyFirst Expected Utility Model: Experimental Evidence and Economic Implications”, Journal of Banking and Finance, 33, 2009, 1494-1506.
Duchin, R. and M. Levy, “Disagreement, Portfolio Optimization and Excess Volatility”, Journal of Financial and Quantitative Analysis, 2010, 45, 3.
Levy, M., “Loss Aversion and the Price of Risk”, Quantitative Finance, 2009, 1-14.
Levy, M. and G. Benita, “Are Equally Likely Outcomes Perceived as Equally Likely?”, Journal of Behavioral Finance, 10, 2009, 128-137.
Levy, M., “Gibrat’s Law for Almost All Cities: A Comment”, American Economic Review, 99, 2009, 1672-1675.
Levy, M., “Almost Stochastic Dominance and Stocks for the Long Run”,
European Journal of Operational Research, 194, 2009, 250-257.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.).
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, Springer, 2008.
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.
Levy, M., H. Levy and G. Benita, “Capital Asset Prices with Heterogeneous Beliefs”, Journal of Business, 32, 2006, 107-115.
Levy, M., “Mutual Fund Ranking and the Investment Horizon”, Finance Letters.
Levy, M., “Social Phase Transitions”, Journal of Economic Behavior and Organization, 57, 2005. 71-87.
Levy, M., “Is Risk-Aversion Hereditary?”, Journal of Mathematical Economics, 41, 1, 2005, 157-168.
Levy, H., M. Levy and N. Alisof, “’Homemade Leverage’: Theory versus Experimental Evidence”, Journal of Portfolio Management, 31, 2004, 84-93.
Levy H., and M. Levy, “Prospect Theory and Mean-Variance Analysis”, Review of Financial Studies, 17, 4, 2004, 1015-1041.
Levy, M., “Are Rich People Smarter?”, Journal of Economic Theory, 110, 1, 2003, 42-64.
Levy, M., “Market Efficiency, the Pareto Wealth Distribution, and the Lévy 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.
Levy, H., M. Levy and A. Edry, “A Negative Equilibrium Interest Rate”, Financial Analyst Journal, April 2003, 97-109.
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.
Levy, H. and M. Levy, “Experimental Test of the Prospect Theory Value Function”, Organizational Behavior and Human Decision Processes, 89, 2002, 1058-1081.
Levy, H. and M. Levy, “Arrow-Pratt Risk Aversion, Risk Premium, and Decision Weights”, Journal of Risk and Uncertainty, 25,3, 2002, 265-290.
Levy, M. and H. Levy, “Testing for Risk Aversion: A Stochastic Dominance Approach”, Economics Letters 71, 2, 2001, 233-240.
Biham, O., O. Malcai, M. Levy and S. Solomon, “Generic Emergence of Power Law Distributions and Lévy-stable Intermittent Fluctuations in Discrete Logistic Systems”, Physical Review E 58, 1998, 1352-1358.
Levy, M., and S. Solomon, "New Evidence for the Power-Law Distribution of Wealth", Physica A, 242, 1997, 90-94.
Levy, M., and H. Levy, "The Danger of Assuming Homogeneous Expectations", The Financial Analyst Journal, May 1996, 65-70.
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.
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.
Levy, M., and S. Solomon, "Power Laws are Logarithmic Boltzmann Laws", International Journal of Modern Physics C, 7, 4, 1996, 595-601.
Solomon, S. and M. Levy, "Spontaneous Scaling Emergence in Generic Stochastic Systems", International Journal of Modern Physics C, 7, 5, 1996, 745-751.
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.
Levy, M., H. Levy and S. Solomon, "A Microscopic Model of the Stock Market: Cycles, Booms, and Crashes”, Economics Letters, 45, 1994, 103-111.
- Awards and Honors
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Academic Awards
- The paper “A New Perspective on the Validity of the CAPM: Still Alive”, (coauthored with Richard Roll) won the 2012 Harry Markowitz JOIM Award.
- Abe Grey Award 2007
- Golda Meir Fellowship 2000
- Lady Davis Post-Doctoral Scholarship 1997-1998
- Wolf Scholarship for Academic Excellency 1995
Teaching Awards
- Recipient of the 2011 Michael Milken Prize for Excellence in Teaching.