Modern Portfolio Theory introduced by Markowitz [1952] defines risk as the variance of portfolio return. Since its publication, many studies have shown that higher moment of the distribution of returns are relevant for asset allocation decisions (Samuelson [1970], Kraus and Litzenberger [1976], Friend and Westerfield [1980] among others). Although several risk measures taking into account higher moments of distribution have been proposed in the literature (see for instance Coombs and Lehner [1981] or Favre and Galeano [2002]), they do not take into account the investor's "perception" of financial risks. We define this perception as the subjective judgment of an investor over the characteristics and severity of a potential loss