Georgy Chabakauri

London School of Economics and Political Science

Associate Professor of Finance

Houghton Street

London , WC2A 2AE

United Kingdom

http://personal.lse.ac.uk/CHABAKAU/

  • London School of Economics and Political Science

SCHOLARLY PAPERS

14

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210

CROSSREF CITATIONS

210

Scholarly Papers (14)

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1.

Dynamic Mean-Variance Asset Allocation

Downloads 3,814 ( 5,031)
Citation 111

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 3,812 (4,943)
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 2 (1,087,388)
Citation 51
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Dynamic Programming, Incomplete Markets, Mean-Variance Analysis, Multi-Period Portfolio Choice, Stochastic Investment Opportunities, Time-Consistency

2.

Dynamic Hedging in Incomplete Markets: A Simple Solution

Downloads 1,986 (14,334)
Citation 27

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 1,980 (14,150)
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 (1,055,934)
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 1,112 (34,250)
Citation 24

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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 1,003 (39,710)
Citation 4

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

5.

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 877 (47,818)
Citation 29

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

6.

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 839 (50,847)
Citation 10

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

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 690 (66,003)
Citation 17

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8.

Investor Protection and Asset Prices

Downloads 624 (74,971)
Citation 2

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 624 (74,032)

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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 611 (76,946)
Citation 11

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

10.

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 500 (98,676)
Citation 38

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

11.

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

Columbia Business School Research Paper Forthcoming
Number of pages: 79 Posted: 30 Jan 2022 Last Revised: 17 Nov 2022
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 435 (116,460)
Citation 2

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insider trading, activist trading, shareholder activism

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 378 (136,870)
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 348 (149,806)
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: 41 Posted: 24 Jun 2023
Suleyman Basak and Georgy Chabakauri
London Business School and London School of Economics and Political Science
Downloads 93 (474,627)

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asset prices, wealth inequality, consumption tax, risk aversions, heterogeneity, stock market participation.