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A microscopic model of the stock market : cycles, booms, and crashes

Levy, Moshe - In: Economics letters 45 (1994) 1, pp. 103-111

Persistent link: https://www.econbiz.de/10001162381

Testing for risk aversion: a stochastic dominance approach

Levy, Moshe; Levy, Haim - In: Economics letters 71 (2001) 2, pp. 233-240

Persistent link: https://www.econbiz.de/10001569112

Testing for risk aversion: a stochastic dominance approach

Levy, Moshe; Levy, Haim - In: Economics letters 71 (2001) 2, pp. 233-240

Persistent link: https://www.econbiz.de/10006775124

On the spurious correlation between sample betas and mean returns

Levy, Moshe - In: Applied mathematical finance 19 (2012) 3/4, pp. 341-360

Persistent link: https://www.econbiz.de/10009710969

Co-monotonicity : toward a utility function capturing envy

Levy, Moshe - In: Economics letters 114 (2012) 1, pp. 16-19

Persistent link: https://www.econbiz.de/10009515857

Portfolio Optimization with Many Assets: The Importance of Short-Selling

Levy, Moshe; Ritov, Yaacov - Anderson Graduate School of Management, University of … - 2001

We investigate the properties of mean-variance efficient portfolios when the number of assets is large. We show analytically and empirically that the proportion of assets held short converges to 50% as the number of assets grows, and the investment proportions are extreme, with several assets...

Persistent link: https://www.econbiz.de/10010536042