Hi, Welcome to Practo, Budamate is a steroid and not bronchodilator so it won't help much in ur exercise or cold air induced shortness of breath. You need to take bronchodilator vand inhaled steroid both. You can try pranayam and aerobic exercise and deep breathing exercises to help u increase ur lung capacity. But take inhaler before exercises.

You might be having asthma.... And the asthma can be induced By exercise also to confirm that visit a respiratory physician and as far as cold is considered you can take fomtide inhaler which is having both formeterol(bronchodilator) and budesonide(steroid).