The article explores how investors can choose the best mix of investments while managing their risks. They use a measure called Weighted Value-at-Risk (WVaR) to assess risk, which is a mix of Value-at-Risk (VaR) and Expected Shortfall (ES). The researchers find that different risk measures can change how investors allocate their assets. Some models may not have a perfect solution, while others could lead to built-in insurance for portfolios. Popular risk measures like VaR and ES can allow investors to take advantage of regulatory rules to minimize losses.