Brian,
You are right. But I was thinking of a slighly different setup for the
problem. Say you want to leverage at different levels for each of the
assets, with only a global risk target as goal. I thought that the easiest
way out was to leave that to the portfolio optimizer. My assets are not
equities and I assume they are traded on margin.
I believe that approach was taken, for instance, in "Portfolio optimization
with drawdown constraints" Checkhlov, Uryasec and Zabrankin.