Georgy Chabakauri

London School of Economics and Political Science

Houghton Street

London, WC2A 2AE

United Kingdom

http://https://personal.lse.ac.uk/chabakau/

Centre for Economic Policy Research (CEPR)

SCHOLARLY PAPERS

15

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Top 5,971

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14,494

TOTAL CITATIONS
Rank 4,190

SSRN RANKINGS

Top 4,190

in Total Papers Citations

274

Scholarly Papers (15)

1.
Downloads 3,937 ( 5,720)
Citation 60

Dynamic Mean-Variance Asset Allocation

EFA 2007 Ljubljana Meetings, AFA 2009 San Francisco Meetings Paper
Number of pages: 46 Posted: 27 Feb 2007 Last Revised: 09 Apr 2009
Suleyman Basak and Georgy Chabakauri
London Business School and London School of Economics and Political Science
Downloads 3,934 (5,611)
Citation 9

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Mean-Variance Analysis, Multi-Period Portfolio Choice, Stochastic Investment Opportunities, Time-Consistency, Incomplete Markets

Dynamic Mean-Variance Asset Allocation

CEPR Discussion Paper No. DP7256
Number of pages: 48 Posted: 19 May 2009
Suleyman Basak and Georgy Chabakauri
London Business School and London School of Economics and Political Science
Downloads 3 (1,318,323)
Citation 51
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Dynamic Programming, Incomplete Markets, Mean-Variance Analysis, Multi-Period Portfolio Choice, Stochastic Investment Opportunities, Time-Consistency

Dynamic Hedging in Incomplete Markets: A Simple Solution

AFA 2012 Chicago Meetings Paper
Number of pages: 49 Posted: 07 Nov 2008 Last Revised: 12 May 2011
Suleyman Basak and Georgy Chabakauri
London Business School and London School of Economics and Political Science
Downloads 2,055 (15,928)
Citation 9

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Hedging, incomplete markets, minimum-variance criterion, risk management, time-consistency, discrete hedging, derivatives, benchmarking, correlation risk, Poisson jumps

Dynamic Hedging in Incomplete Markets: A Simple Solution

CEPR Discussion Paper No. DP8402
Number of pages: 51 Posted: 26 May 2011
Suleyman Basak and Georgy Chabakauri
London Business School and London School of Economics and Political Science
Downloads 6 (1,288,793)
Citation 12
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benchmarking, correlation risk, derivatives, discrete hedging, hedging, incomplete markets, minimum-variance criterion, Poisson jumps, risk management, time-consistency

3.

Multi-Asset Noisy Rational Expectations Equilibrium with Contingent Claims

Number of pages: 110 Posted: 08 Jun 2014 Last Revised: 05 Nov 2021
Georgy Chabakauri, Kathy Yuan and Konstantinos E. Zachariadis
London School of Economics and Political Science, London School of Economics & Political Science (LSE) - Department of Finance and School of Economics and Finance, Queen Mary University of London
Downloads 1,192 (37,048)
Citation 43

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asymmetric information, rational expectations, learning from prices, contingent claims, derivative securities

4.

Collateral Constraints and Asset Prices

AFFI/EUROFIDAI, Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 69 Posted: 14 Nov 2015 Last Revised: 30 Nov 2019
Georgy Chabakauri and Brandon Yueyang Han
London School of Economics and Political Science and Robert H. Smith School of Business, University of Maryland
Downloads 1,071 (43,304)
Citation 9

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collateral, nonpledgeable labor income, heterogeneous preferences, disagreement, asset prices, stationary equilibrium

5.

Asset Pricing with Index Investing

Journal of Financial Economics (JFE), Forthcoming, Fox School of Business Research Paper No. 15-051
Number of pages: 87 Posted: 29 Nov 2014 Last Revised: 21 Jul 2020
Georgy Chabakauri and Oleg Rytchkov
London School of Economics and Political Science and Temple University - Department of Finance
Downloads 968 (49,910)
Citation 20

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risk sharing, general equilibrium, index investing, heterogeneous investors, Lucas trees

6.

Idiosyncratic Volatility, Growth Options, and the Cross-Section of Returns

Number of pages: 59 Posted: 10 Nov 2007 Last Revised: 20 Jul 2021
Alexander Barinov and Georgy Chabakauri
University of California Riverside and London School of Economics and Political Science
Downloads 956 (50,757)
Citation 31

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idiosyncratic volatility discount, growth options, aggregate volatility risk, value premium, anomalies, real options

7.

Asset Pricing with Heterogeneous Preferences, Beliefs, and Portfolio Constraints

Number of pages: 42 Posted: 24 Oct 2014 Last Revised: 23 Apr 2015
Georgy Chabakauri
London School of Economics and Political Science
Downloads 731 (72,909)
Citation 17

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Investor Protection and Asset Prices

Number of pages: 60 Posted: 07 Mar 2016 Last Revised: 07 Mar 2019
Suleyman Basak, Georgy Chabakauri and M. Deniz Yavuz
London Business School, London School of Economics and Political Science and Purdue University - Krannert School of Management
Downloads 652 (83,161)

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investor protection, asset pricing, controlling shareholders, expropriation, stock holdings

Investor Protection and Asset Prices

CEPR Discussion Paper No. DP13472
Number of pages: 63 Posted: 28 Jan 2019
Suleyman Basak, Georgy Chabakauri and M. Deniz Yavuz
London Business School, London School of Economics and Political Science and Purdue University - Krannert School of Management
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Asset Pricing, controlling shareholders, expropriation, investor protection, stock holdings

9.

Asset Pricing with Heterogeneous Investors and Portfolio Constraints

Number of pages: 36 Posted: 18 Mar 2010 Last Revised: 09 Dec 2014
Georgy Chabakauri
London School of Economics and Political Science
Downloads 627 (88,613)
Citation 11

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asset pricing, dynamic equilibrium, heterogeneous investors, borrowing constraints, short-sale constraints, limited participation constraints, stock return volatility

10.

Trading Ahead of Barbarians' Arrival at the Gate: Insider Trading on Non-Inside Information

Columbia Business School Research Paper Forthcoming
Number of pages: 76 Posted: 30 Jan 2022 Last Revised: 03 Sep 2024
Georgy Chabakauri, Vyacheslav Fos and Wei Jiang
London School of Economics and Political Science, Boston College - Department of Finance and Emory University Goizueta Business School
Downloads 618 (90,303)
Citation 2

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insider trading, activist trading, shareholder activism

11.

Dynamic Equilibrium with Two Stocks, Heterogeneous Investors, and Portfolio Constraints

Number of pages: 41 Posted: 19 Feb 2013 Last Revised: 20 Dec 2013
Georgy Chabakauri
London School of Economics and Political Science
Downloads 564 (101,470)
Citation 45

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asset pricing, dynamic equilibrium, heterogeneous investors, portfolio constraints, stochastic correlations, stock return volatility, consumption CAPM with constraints

12.

Dynamic Equilibrium with Rare Events and Heterogeneous Epstein-Zin Investors

Number of pages: 35 Posted: 08 Apr 2014 Last Revised: 11 Jan 2015
Georgy Chabakauri
London School of Economics and Political Science
Downloads 404 (151,442)
Citation 5

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heterogeneous investors, Epstein-Zin preferences, rare events, equilibrium, portfolio choice

13.

Asset Pricing in General Equilibrium with Constraints

EFA 2009 Bergen Meetings Paper
Number of pages: 51 Posted: 12 Feb 2009 Last Revised: 14 Apr 2010
Georgy Chabakauri
London School of Economics and Political Science
Downloads 374 (165,053)
Citation 10

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asset pricing, dynamic equilibrium, heterogeneous investors, portfolio constraints, risk sharing, stock return volatility

14.

Asset Prices, Wealth Inequality, and Taxation *

Number of pages: 42 Posted: 24 Jun 2023 Last Revised: 21 Sep 2024
Suleyman Basak and Georgy Chabakauri
London Business School and London School of Economics and Political Science
Downloads 220 (285,693)

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D31, E21, G11, G12, H24 asset prices, wealth inequality, consumption tax, risk aversions, heterogeneity, stock market participation

15.

Informational Efficiency and Asset Prices in Large Markets

Number of pages: 51 Posted: 15 Apr 2024 Last Revised: 28 Aug 2024
Georgy Chabakauri
London School of Economics and Political Science
Downloads 119 (482,744)

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asymmetric information, big data, derivative securities, heterogeneous beliefs, informational efficiency, interest rates, learning from prices