The article introduces a new way to manage investment portfolios by explicitly considering the risk of potential losses. This is done by using a measure called Value at Risk (VaR) in addition to the traditional focus on maximizing returns. The researchers developed a bi-level model that aims to minimize VaR at the upper level while optimizing asset weights for risk and return at the lower level. This approach allows for a wider range of portfolio solutions that balance risk and return more effectively than traditional methods.