Asset Allocation Taking into Account the Time Lag of Volatility Forecasting

Striving for efficient asset allocation investors usually have limited risk bearing ability. This results in an upper limit for their portfolio volatility that must not be exceeded. Ensuring compliance with this risk limit at any point in time is essentially complicated by two factors: First, portfolio volatility permanently changes over time. Second, there is a considerable time lag between two consecutive estimations of portfolio volatility due to a restricted capacity of the employed...