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Chabakauri, Georgy's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
4,132 |
Total
Citations
32 |
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1.
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Dynamic Mean-Variance Asset Allocation
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Basak, Suleyman
Centre for Economic Policy Research (CEPR) Chabakauri, Georgy
London School of Economics and Political Science
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Posted:
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27 Feb 07
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Last Revised:
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19 May 09
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2,297
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17
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Basak, Suleyman
Centre for Economic Policy Research (CEPR) Chabakauri, Georgy
London School of Economics and Political Science
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2
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Dynamic Programming, Incomplete Markets, Mean-Variance Analysis, Multi-Period Portfolio Choice, Stochastic Investment Opportunities, Time-Consistency
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Basak, Suleyman
Centre for Economic Policy Research (CEPR) Chabakauri, Georgy
London School of Economics and Political Science
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27 Feb 07
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Last Revised:
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09 Apr 09
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2,295
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17
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Mean-Variance Analysis, Multi-Period Portfolio Choice, Stochastic Investment Opportunities, Time-Consistency, Incomplete Markets
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2.
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Dynamic Hedging in Incomplete Markets: A Simple Solution
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Basak, Suleyman
Centre for Economic Policy Research (CEPR) Chabakauri, Georgy
London School of Economics and Political Science
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Posted:
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07 Nov 08
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Last Revised:
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26 May 11
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1,165
(7,180)
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4
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Basak, Suleyman
Centre for Economic Policy Research (CEPR) Chabakauri, Georgy
London School of Economics and Political Science
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6
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4
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benchmarking, correlation risk, derivatives, discrete hedging, hedging, incomplete markets, minimum-variance criterion, Poisson jumps, risk management, time-consistency
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Basak, Suleyman
Centre for Economic Policy Research (CEPR) Chabakauri, Georgy
London School of Economics and Political Science
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07 Nov 08
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Last Revised:
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12 May 11
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1,159
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Hedging, incomplete markets, minimum-variance criterion, risk management, time-consistency, discrete hedging, derivatives, benchmarking, correlation risk, Poisson jumps
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3.
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Chabakauri, Georgy
London School of Economics and Political Science
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18 Mar 10
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Last Revised:
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06 May 13
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392
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6
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asset pricing, dynamic equilibrium, heterogeneous investors, borrowing constraints, short-sale constraints, limited participation constraints, stock return volatility
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4.
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Chabakauri, Georgy
London School of Economics and Political Science
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12 Feb 09
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Last Revised:
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14 Apr 10
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252
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5
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asset pricing, dynamic equilibrium, heterogeneous investors, portfolio constraints, risk sharing, stock return volatility
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5.
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Chabakauri, Georgy
London School of Economics and Political Science
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26
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asset pricing, dynamic equilibrium, heterogeneous investors, portfolio constraints, stochastic correlations, stock return volatility, consumption CAPM with constraints
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Records 1 -
5
of 5 matches
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