Active Risk Budgeting and the Study on Manager''''s Portfolio Choice
积极风险预算和管理者组合投资决策研究

This paper builds portfolio decision model under risk budgeting framework by decomposing active risk budgeting into gross budgeting and structural budgeting,and solving the model when the benchmark is efficient and non-efficient,respectively,then analyzing the property,in detail,of optimal investment decision under the two different conditions.The results show that: the efficiency of portfolio decision lies on the efficiency of benchmark completely;when benchmark is not efficient,structural budgeting determine the structure of portfolio,while gross budgeting determine the degree which optimal portfolio deviate from benchmark;small beta in structural budgeting actually hedge the benchmark risk effectively,so it conduces to improve the total return under the same total risk.