  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.
