In this paper, we revisit the portfolio allocation problem with designated risk-budget [Qian, 2005]. We generalize the problem of arbitrary risk budgets with unequal correlations to one that includes return forecasts and transaction costs while keeping the no-shorting (long-only positions) constraint. We offer a convex second order cone formulation that scales well with the number of assets and explore solutions to the problem in different settings. In particular, the problem is solved on a few practical cases - on equity and bond asset allocation problems as well as formulating index constituents for the NASDAQ100 index, illustrating the benefits of this approach.

翻译：在本文件中,我们重新审视了与指定风险预算[2005年,齐安]有关的投资组合分配问题。我们将任意风险预算问题与包括回报预测和交易费用在内的风险预算的不平等关联问题概括为一个问题,同时保持不实行拖散(仅限长期职位)的制约。我们提出一个第二顺序的组合方案,使资产数量与不同情况下的资产数量相匹配,并探索解决问题的办法。特别是,这个问题在少数实际案例中得到解决,涉及股票和债券资产分配问题,以及为NASDAQ100指数制定指数的指数成分,说明这一方法的好处。