Mr Cohen, who is believed to have spent at least $400m on buying art since 1999, also filed a 5.9 per cent stake in Sotheby’s last month through his hedge fund vehicle SAC Capital Partners.
Both collector and auction house have told the media there are no plans to sell any of the works.
Sotheby’s say the idea for the exhibition, which focuses on female subjects, came from Sotheby's worldwide head of contemporary art Tobias Meyer.
Included in the show will be Van Gogh’s Portrait of a Young Peasant Girl (1890), Edvard Munch’s Madonna (1895-97), Pablo Picasso’s Femme Nue Couchée (1932) and Le Repos (1932). The latter was bought at Christie's in May 2006 for a premium inclusive $34.7m.
The exhibition, which is free to the public, runs from April 2-14.
