Overview
Farouk's main research:
- Hedging the correlation risk between equities and bonds
- Correlation risk premia between equities and bonds
- Utility and margin-based asset pricing
Farouk's other research interests:
- Asset pricing and risk management
- Trend-following, momentum and contrarian trading strategies
- Portfolio risk management using active risk targeting
- Option pricing/hedging and derivative trading strategies
Collaborators
Robert Kosowski, Imperial College Business School
Stephane Guibaud, London School of Economics
Jean-Pierre Zigrand, London School of Economics
Enrico Biffis, Imperial College Business School