Publications of Georgy Chabakauri

We study a noisy rational expectations equilibrium in a multi-asset economy populated by informed and uninformed investors and noise traders. The...

Journal of Financial Economics, 141(1), 195-216

Journal of Financial Economics, 138(3), Pages 754-776.

We theoretically analyze how index investing affects financial markets using a dynamic exchange economy with heterogeneous investors and two Lucas...

The Review of Financial Studies, 32(12), 4905-4946.

Empirical evidence suggests that investor protection has significant effects on ownership concentration and asset prices. We develop a dynamic asset...

We study the effects of collateral constraints in an economy populated by investors with nonpledgeable labor incomes and heterogeneous preferences and...

Review of Financial Studies, 26 (12). pp. 3104-3141. 

We study dynamic general equilibrium in one-tree and two-trees Lucas economies with one consumption good and two CRRA investors with heterogeneous...

Review of Financial Studies, 25 (6). pp. 1845-1896. 

Despite much work on hedging in incomplete markets, the literature still lacks tractable dynamic hedges in plausible environments. In this article, we...