The article evaluates different ways to build a portfolio that maximizes returns while managing risks. They compare using a measure called optimal expected utility (OEU) to a traditional method using value at risk. The OEU method is better for investors who are not very risk-averse. In a study with three stock market indices, they found that both methods outperformed simple strategies like equally weighted portfolios. The OEU method is especially good in times of economic growth, while more cautious investors do better in times of crisis.