David Disatnik

Tel Aviv University - Faculty of Management

P.O. Box 39010

Ramat Aviv, Tel Aviv, 69978

Israel

SCHOLARLY PAPERS

7

DOWNLOADS
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3,593

CITATIONS
Rank 28,818

SSRN RANKINGS

Top 28,818

in Total Papers Citations

8

Scholarly Papers (7)

1.

Estimating the Covariance Matrix for Portfolio Optimization

Number of pages: 52 Posted: 02 Jan 2006
David Disatnik and Simon Benninga
Tel Aviv University - Faculty of Management and Tel Aviv University - Faculty of Management
Downloads 1,411 (8,472)
Citation 1

Abstract:

portfolio optimization, covariance matrix, short sales

2.

Cash Flow Hedging and Liquidity Choices

Forthcoming, Review of Finance
Number of pages: 44 Posted: 01 Aug 2009 Last Revised: 19 Dec 2012
David Disatnik, Ran Duchin and Breno Schmidt
Tel Aviv University - Faculty of Management, University of Washington - Michael G. Foster School of Business and Emory University - Goizueta Business School
Downloads 966 (15,881)
Citation 6

Abstract:

derivative, hedging, cash, credit line, liquidity

Portfolio Optimization Using a Block Structure for the Covariance Matrix

Number of pages: 31 Posted: 17 Jun 2009 Last Revised: 07 Apr 2010
David Disatnik
Tel Aviv University - Faculty of Management
Downloads 259 (91,980)
Citation 1

Abstract:

Portfolio Optimization, Short Sale Constraints, Block Covariance Matrix

Portfolio Optimization Using a Block Structure for the Covariance Matrix

Number of pages: 49 Posted: 20 Feb 2011 Last Revised: 31 Oct 2011
David Disatnik and Saggi Katz
Tel Aviv University - Faculty of Management and Tel Aviv University - The Leon Recanati Graduate School of Business Administration
Downloads 120 (186,437)
Citation 1

Abstract:

Portfolio Optimization, Short Sale Constraints, Block Covariance Matrix, 1/N portfolio

Portfolio Optimization Using a Block Structure for the Covariance Matrix

Journal of Business Finance & Accounting, Vol. 39, Issue 5‐6, pp. 806-843, 2012,
Number of pages: 38 Posted: 05 Jul 2012
David Disatnik and Saggi Katz
Tel Aviv University - Faculty of Management and Tel Aviv University - The Leon Recanati Graduate School of Business Administration
Downloads 1 (549,308)
Citation 1

Abstract:

portfolio optimization, short sale constraints, block covariance matrix, the 1/N portfolio

Portfolio Optimization Using a Block Structure for the Covariance Matrix

Journal of Business Finance and Accounting, Forthcoming
Posted: 30 Dec 2011
David Disatnik and Saggi Katz
Tel Aviv University - Faculty of Management and Tel Aviv University - The Leon Recanati Graduate School of Business Administration

Abstract:

Portfolio Optimization, Short Sale Constraints, Block Covariance Matrix, 1/N portfolio

4.

A Note on Portfolio Optimization and the Diagonal Covariance Matrix

Number of pages: 12 Posted: 11 Jun 2009
David Disatnik
Tel Aviv University - Faculty of Management
Downloads 344 (65,807)

Abstract:

Portfolio Optimization, Diagonal Covariance Matrix, the 1/N Portfolio

The Multicollinearity Illusion in Moderated Regression Analysis

Number of pages: 17 Posted: 22 Jun 2013 Last Revised: 16 Oct 2014
David Disatnik and Liron Sivan
Tel Aviv University - Faculty of Management and Carnegie Mellon University - H. John Heinz III School of Public Policy and Management
Downloads 207 (115,825)

Abstract:

Multicollinearity, Moderated Multiple Regression, Interaction, Monte Carlo Simulations

The Multicollinearity Illusion in Moderated Regression Analysis

Marketing Letters, Forthcoming
Posted: 21 Nov 2014
David Disatnik and Liron Sivan
Tel Aviv University - Faculty of Management and Carnegie Mellon University - H. John Heinz III School of Public Policy and Management

Abstract:

Multicollinearity, Moderated Multiple Regression, Regression Analysis, Interaction

The Two-Block Covariance Matrix and the CAPM

Number of pages: 19 Posted: 22 Nov 2011 Last Revised: 31 Jan 2012
David Disatnik and Simon Benninga
Tel Aviv University - Faculty of Management and Tel Aviv University - Faculty of Management
Downloads 138 (166,932)

Abstract:

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 and Simon Benninga
Tel Aviv University - Faculty of Management and Tel Aviv University - Faculty of Management

Abstract:

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

7.

Shrinking the Covariance Matrix

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

Abstract: