Abstract: Large investors, including plan sponsors,foundations,etc., face several difficulties in managing their assets.Some of the most perplexing relate to manager structure.Even though and asset allocation study directs investors to the most appropriate asset class structure,most investors have little to guide them in determining the manager structure that will put their money to work in the most effective way.We draw on the literature of active management related to building portfolios of securities,and adapt it to the problem of building portfolios of managers.

Key words: risk budgeting, portfolio management, risk control