Hermans, Lieven; Kostka, Thomas; Vassallo, Danilo - 2023
We study the effects of low short-term interest rates on the optimal portfolio allocation in Markowitz portfolios and … Risk parity portfolios. We propose a measure of Portfolio Instability, gauging the amount of optimal portfolio shifts … needed to respond to exogenous shocks to the expected risk and return of the risky portfolio assets. Portfolio Instability, i …