Georgy Chabakauri

London School of Economics and Political Science

Assistant Professor of Finance

Houghton Street

London , WC2A 2AE

United Kingdom

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

SCHOLARLY PAPERS

11

DOWNLOADS
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7,924

CITATIONS
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in Total Papers Citations

44

Scholarly Papers (11)

1.
Downloads 3,030 ( 2,667)
Citation 22

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 3,028 (2,603)
Citation 22

Abstract:

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 (557,607)
Citation 22

Abstract:

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 1,644 (7,591)
Citation 6

Abstract:

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 (534,754)
Citation 6

Abstract:

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

3.

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 525 (40,216)
Citation 5

Abstract:

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

4.

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 286 (80,578)
Citation 6

Abstract:

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

5.

Multi-Asset Noisy Rational Expectations Equilibrium with Contingent Claims

Paris December 2015 Finance Meeting EUROFIDAI - AFFI
Number of pages: 58 Posted: 08 Jun 2014 Last Revised: 26 Nov 2016
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 268 (35,615)

Abstract:

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

6.

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 150 (95,044)
Citation 2

Abstract:

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

7.

Asset Pricing with Index Investing

Fox School of Business Research Paper No. 15-051
Number of pages: 68 Posted: 29 Nov 2014 Last Revised: 16 Dec 2016
Georgy Chabakauri and Oleg Rytchkov
London School of Economics and Political Science and Temple University - Department of Finance
Downloads 146 (66,930)

Abstract:

asset pricing, general equilibrium, index investing, heterogeneous investors, Lucas trees

8.

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 140 (66,273)
Citation 3

Abstract:

9.

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 140 (102,411)

Abstract:

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

10.

Investor Protection and Asset Prices

Number of pages: 37 Posted: 07 Mar 2016 Last Revised: 09 May 2017
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 0 (122,427)

Abstract:

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

11.

Capital Requirements and Asset Prices

Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 53 Posted: 14 Nov 2015 Last Revised: 20 Jan 2017
Georgy Chabakauri and Brandon Yueyang Han
London School of Economics and Political Science and London School of Economics and Political Science
Downloads 0 (63,408)

Abstract:

collateral, non-pledgeable labor income, heterogeneous preferences, disagreement, asset prices, stationary equilibrium