Simon Benninga

Tel Aviv University - Faculty of Management

Professor

P.O. Box 39010

Ramat Aviv, Tel Aviv, 69978

Israel

  • Tel Aviv University - Faculty of Management

    • Email
    • Tel: +972-3-640-6317
    • Fax: +972-2-673-4675
SCHOLARLY PAPERS

21

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7,751

SSRN CITATIONS
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37

CROSSREF CITATIONS

49

Scholarly Papers (21)

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1.

Estimating the Covariance Matrix for Portfolio Optimization

Number of pages: 52 Posted: 02 Jan 2006
David Disatnik, David Disatnik and Simon Benninga
Tel Aviv University - Faculty of ManagementTel Aviv University - Faculty of Management and Tel Aviv University - Faculty of Management
Downloads 1,896 (13,613)
Citation 3

Abstract:

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portfolio optimization, covariance matrix, short sales

2.

The Timing of Initial Public Offerings

Downloads 1,216 (26,740)
Citation 14

The Timing of Initial Public Offerings

Number of pages: 31 Posted: 09 Jan 2001
Simon Benninga, Mark Helmantel and Oded Sarig
Tel Aviv University - Faculty of Management, University of Groningen - Faculty of Economics and Interdisciplinary Center (IDC) Herzliyah - Adelson School of Entrepreneuship
Downloads 1,216 (26,292)
Citation 14

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IPO, diversification, buyout

The Timing of Initial Public Offerings

Posted: 09 Aug 2003
Simon Benninga, Mark Helmantel and Oded Sarig
Tel Aviv University - Faculty of Management, University of Groningen - Faculty of Economics and Interdisciplinary Center (IDC) Herzliyah - Adelson School of Entrepreneuship

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IPO, diversification, buyout

The Timing of Initial Public Offerings

University of Illinois at Urbana-Champaign's Academy for Entrepreneurial Leadership Historical Research Reference in Entrepreneurship
Posted: 17 Nov 2009
Simon Benninga, Mark Helmantel and Oded Sarig
Tel Aviv University - Faculty of Management, University of Groningen - Faculty of Economics and affiliation not provided to SSRN

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Experimental/primary research, Initial public offerings (IPO), Private offerings, Public offerings, Cash flow

3.

On the Use of Numeraires in Option Pricing

Downloads 914 (40,149)

On the Use of Numeraires in Option Pricing

Number of pages: 25 Posted: 20 Jan 2002
Tomas Bjork, Simon Benninga and Zvi Wiener
Stockholm School of Economics - Swedish House of Finance, Tel Aviv University - Faculty of Management and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 914 (39,574)
Citation 9

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Options, Numeraire, Convertible Bonds, Employee Stock Options, Currency Options

On the Use of Numeraires in Option Pricing

Posted: 20 Jan 2003
Simon Benninga, Tomas Bjork and Zvi Wiener
Tel Aviv University - Faculty of Management, Stockholm School of Economics - Swedish House of Finance and Hebrew University of Jerusalem - Jerusalem School of Business Administration

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options, numeraire

4.

Risk and Return in the Presence of Differential Taxation: Integrating the CAPM and Capital Structure Theory

Number of pages: 37 Posted: 21 Feb 1998
Oded Sarig and Simon Benninga
Interdisciplinary Center (IDC) Herzliyah - Adelson School of Entrepreneuship and Tel Aviv University - Faculty of Management
Downloads 780 (49,817)
Citation 3

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5.

The Uncertainty Premium in an Ambiguous Economy

The Quarterly Journal of Finance, 2011, vol. 1 (2), pp. 323-354
Number of pages: 44 Posted: 12 Dec 2006 Last Revised: 08 Mar 2021
Yehuda (Yud) Izhakian and Simon Benninga
City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance and Tel Aviv University - Faculty of Management
Downloads 688 (58,883)
Citation 14

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Ambiguity, risk aversion, ambiguity aversion, uncertainty, utility

6.

Heterogeneity and Option Pricing

Number of pages: 39 Posted: 13 May 1997
Joram Mayshar and Simon Benninga
Hebrew University of Jerusalem - Department of Economics and Tel Aviv University - Faculty of Management
Downloads 500 (88,128)
Citation 41

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7.

Hedging with Forwards and Puts in Complete and Incomplete Markets

Number of pages: 35 Posted: 17 Mar 2002
Casper Oosterhof and Simon Benninga
affiliation not provided to SSRN and Tel Aviv University - Faculty of Management
Downloads 442 (101,954)

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Hedging; Put options; Forward contracts; Unbiasedness

8.

Expected Bond Returns and the Credit Risk Premium

Number of pages: 26 Posted: 02 Jan 2014 Last Revised: 19 Jul 2014
Zvika Afik and Simon Benninga
Ben Gurion University and Tel Aviv University - Faculty of Management
Downloads 360 (128,976)

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expected bond returns, corporate bonds, credit risk premium, yield to maturity

9.

A Model of Implied Expected Bond Returns

Number of pages: 38 Posted: 04 Mar 2010 Last Revised: 13 Jan 2013
Zvika Afik and Simon Benninga
Ben Gurion University and Tel Aviv University - Faculty of Management
Downloads 225 (208,766)

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Expected Returns, Corporate Bonds, Credit Risk

10.

The Cost of Equity for Private Firms

Number of pages: 37 Posted: 26 May 2015 Last Revised: 30 Nov 2015
Menachem (Meni) Abudy, Simon Benninga and Efrat Shust
Bar-Ilan University - Graduate School of Business Administration, Tel Aviv University - Faculty of Management and The Department of Management and Economics, The Open University of Israel
Downloads 213 (219,940)
Citation 1

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Non-marketability, non-diversification, cost of capital, private firm valuation

11.

The Two-Block Covariance Matrix and the CAPM

Downloads 194 (239,382)

The Two-Block Covariance Matrix and the CAPM

Number of pages: 19 Posted: 22 Nov 2011 Last Revised: 31 Jan 2012
David Disatnik, David Disatnik and Simon Benninga
Tel Aviv University - Faculty of ManagementTel Aviv University - Faculty of Management and Tel Aviv University - Faculty of Management
Downloads 194 (239,242)

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portfolio optimization, block covariance matrix, CAPM

The Two-Block Covariance Matrix and the CAPM

International Journal of Portfolio Analysis & Management, Forthcoming
Posted: 01 Feb 2012
David Disatnik, David Disatnik and Simon Benninga
Tel Aviv University - Faculty of ManagementTel Aviv University - Faculty of Management and Tel Aviv University - Faculty of Management

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portfolio optimization, block covariance matrix, tangency portfolio, market portfolio, CAPM

12.

Valuing Restricted Stock Grants to Non-Executive Employees

Number of pages: 46 Posted: 29 Oct 2014 Last Revised: 26 Feb 2016
Menachem (Meni) Abudy and Simon Benninga
Bar-Ilan University - Graduate School of Business Administration and Tel Aviv University - Faculty of Management
Downloads 116 (362,494)

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Marketability, discount, restricted stocks compensation

13.

Non-marketability and the Value of Employee Stock Options

Forthcoming in the Journal of Banking and Finance
Number of pages: 33 Posted: 21 Nov 2011 Last Revised: 06 Oct 2013
Menachem (Meni) Abudy and Simon Benninga
Bar-Ilan University - Graduate School of Business Administration and Tel Aviv University - Faculty of Management
Downloads 106 (386,125)
Citation 2

Abstract:

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employee stock options, under pricing

14.

Options in Markets with Tax-Induced Incompleteness

Number of pages: 31 Posted: 21 Feb 2002
Naomi Belfer and Simon Benninga
Tel Aviv University - Faculty of Management and Tel Aviv University - Faculty of Management
Downloads 101 (399,143)

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taxation, incomplete markets, asset pricing

15.

Shrinking the Covariance Matrix

Journal of Portfolio Management, Vol. 33, No. 4, 2007
Posted: 04 Mar 2011
David Disatnik, David Disatnik and Simon Benninga
Tel Aviv University - Faculty of ManagementTel Aviv University - Faculty of Management and Tel Aviv University - Faculty of Management

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16.

Mini-Case: Ubs Ag 19.50% Goals, Linked to Cisco Systems

Posted: 02 Apr 2001
Simon Benninga
Tel Aviv University - Faculty of Management

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17.

Implementing Numerical Option Pricing Models

Posted: 21 Oct 2000
Simon Benninga, Raz Steinmetz and John Stroughair
Tel Aviv University - Faculty of Management, University of Pennsylvania - The Wharton School and Oliver, Wyman & Company, LLC.

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18.

Forward and Future Prices with Markovian Interest-Rate Processes

Posted: 27 Oct 1999
Aris Protopapadakis and Simon Benninga
University of Southern California - Marshall School of Business - Finance and Business Economics Department and Tel Aviv University - Faculty of Management

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19.

Limiting Differences between Forward and Futures Prices in a Lucas Consumption Model

Rodney L. White Center Working Paper No. 17-94
Posted: 03 Sep 1999
Zvi Wiener, Simon Benninga and Aris Protopapadakis
Hebrew University of Jerusalem - Jerusalem School of Business Administration, Tel Aviv University - Faculty of Management and University of Southern California - Marshall School of Business - Finance and Business Economics Department

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20.

An Investigation of Cheapest to Deliver on Treasury Bond Futures Contracts

Posted: 21 Jun 1998
Zvi Wiener and Simon Benninga
Hebrew University of Jerusalem - Jerusalem School of Business Administration and Tel Aviv University - Faculty of Management

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21.

Dynamic Wealth Redistribution, Trade, and Asset Pricing

Posted: 14 May 1998
Simon Benninga and Joram Mayshar
Tel Aviv University - Faculty of Management and Hebrew University of Jerusalem - Department of Economics

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