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פרופ' חיים לוי: דיקן בית הספר למנהל עסקים
Prof. Haim Levy: Dean

פרופ' חיים לוי School of Business Administration
The Center of Law and Business, Ramat-Gan

mshlevy@mscc.huji.ac.il

 

 

Educational Background

Academic Appointments

Scholarly Honors and Awards

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

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

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

Offices in Business, Civic and Academic Associations
Business and Civic

Academic

Dissertations Chairman or Co-Chairman

 

 

 

 

 

 

 

 

 

 

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
Springer, 2006

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 Investment, 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.
  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. Sarnat, Prentice-Hall, Canada, 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

         

 

 

 

 

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, Skewness Preference and the Demand for Money: A 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 Investors' Initial Wealth," (with Y. Kroll), Econometrica, September 1978.
  17. "Equilibrium in 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: A 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. Gunthorpe) Economic 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 Function," (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 Rationality" The 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.
  49. Unpublished paper: Modigliani and Miller's Cost of Capital: A Correction

Articles in Financial Journals

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 Science, Winter 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: 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.

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," Bituah, Israel 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 Management, Autumn 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 Research, Autumn 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 Multiperiod 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. Lerman) Bank 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 Verlag, New 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.

Articles – Reprinted

  1. "Approximating Expected Utility by Mean and Variance"(with H. Markovitz) 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," 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 Zhural: Matematika (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 Analysis, The 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," in S. Markvidakes (ed.) Readings in International Finance, New York: Lexington Books, 1974.

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