In portfolio theory, there is always an attempt to create an optimal portfolio. Which portfolio is considered optimal depends not only on the investment universe but also significantly on: 1. the liquidity of the investment 2. the return of the investment 3. the risk of the investment. As the recent financial market crisis has impressively demonstrated, accurately assessing the (loss) risks of a security investment is not only sensible for achieving return objectives but is also absolutely essential for ensuring an investor's solvency. In this context, it can help structure the portfolio so that the portfolio value does not fall below a predetermined level with a specified probability during the investment period. This book describes the construction of an efficient optimization algorithm and analyzes its results through numerical tests.