Haim Levy
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View article: Choices under uncertainty and the investment horizon
Choices under uncertainty and the investment horizon Open
Mean–Variance (M–V) is the most popular investment rule employed by both practitioners and researches. For a short-planned investment horizon, this rule generally conforms with expected utility paradigm. However, for a relatively long hori…
View article: The maximum geometric mean criterion: revisiting the Markowitz–Samuelson debate: survey and analysis
The maximum geometric mean criterion: revisiting the Markowitz–Samuelson debate: survey and analysis Open
By the Almost First-degree Stochastic Dominance (AFSD) rule, corresponding only to economically relevant preferences, for an infinite horizon the $$theoretical$$ claim of both Markowitz and Samuelson is not intact. However, for the prac…
View article: To revise or not to revise? This is the question
To revise or not to revise? This is the question Open
Buy and hold and periodical revisions are two competing investment strategies. Revising to the optimal one-period investment weights seemingly dominates the buy-and-hold strategy with random and uncontrolled investment weights determined b…
View article: In a memory of the late Harry Markowitz
In a memory of the late Harry Markowitz Open
I have learned from him a lot how to conduct research, but more important, I hope, how to be a better human being.
View article: Market Equilibrium and the Cost of Capital with Heterogeneous Investment Horizons
Market Equilibrium and the Cost of Capital with Heterogeneous Investment Horizons Open
Expected returns, variances, betas, and alphas are all non-linear functions of the investment horizon. This seems to be a fatal conceptual problem for the capital asset pricing model (CAPM), which assumes a unique common horizon for all in…
View article: Option Pricing with the Logistic Return Distribution
Option Pricing with the Logistic Return Distribution Open
The Black–Scholes model and many of its extensions imply a log-normal distribution of stock total returns over any finite holding period. However, for a holding period of up to one year, empirical stock return distributions (both condition…
View article: Prospect theory, constant relative risk aversion, and the investment horizon
Prospect theory, constant relative risk aversion, and the investment horizon Open
Prospect Theory (PT) and Constant-Relative-Risk-Aversion (CRRA) preferences have clear-cut and very different implications for the optimal asset allocation between a riskless asset and a risky stock as a function of the investment horizon.…
View article: The Investment Home Bias with Peer Effect
The Investment Home Bias with Peer Effect Open
Observed international diversification implies an investment home bias (IHB). Can bivariate preferences with a local domestic peer group rationalize the IHB? For example, it is argued that wishing to have a large correlation with the Stand…
View article: Investment performance and emotions: an international study
Investment performance and emotions: an international study Open
Purpose The purpose of this paper is to expand the peer effect analysis to investments in the stock market, where neither direct competition nor interaction with other investors exists. Design/methodology/approach A total of 772 subjects d…