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/

SCHOLARLY PAPERS

12

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11,379

SSRN CITATIONS
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SSRN RANKINGS

Top 3,911

in Total Papers Citations

134

CROSSREF CITATIONS

214

Scholarly Papers (12)

1.
Downloads 3,575 ( 3,847)
Citation 98

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 3,573 (3,776)
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

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 (825,361)
Citation 37
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Dynamic Programming, Incomplete Markets, Mean-Variance Analysis, Multi-Period Portfolio Choice, Stochastic Investment Opportunities, Time-Consistency

2.
Downloads 1,865 ( 11,240)
Citation 25

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 1,859 (11,089)
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

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 (788,878)
Citation 10
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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 908 (33,207)
Citation 21

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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 854 (36,119)
Citation 2

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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 697 (47,605)
Citation 31

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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 675 (49,672)
Citation 9

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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 597 (58,171)
Citation 17

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8.

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 587 (59,455)
Citation 11

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

9.
Downloads 554 ( 63,926)

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 554 (63,198)

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

Investor Protection and Asset Prices

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

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 417 (90,149)
Citation 28

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

11.

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 325 (119,511)
Citation 5

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

12.

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 325 (119,511)
Citation 10

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