Within the Modern Portfolio Theory framework, personal portfolio choice is driven by the investor’s risk aversion. In practice, this criterion is usually replaced by a target volatility level, potentially leading to similar allocation choices. Reconciling these two approaches leads to the design of a performance measure that explicitly allows us to isolate a penalty for the portfolio unsuitability, defined as the mismatch between the actual and targeted portfolio risks. This penalty is particularly strong for defensive investors and when the market risk premium is high. We also show that the target volatility criterion leads to inadequate portfolio choices when the market conditions change or when the investor is confronted with a very risky active portfolio. We extend this approach to attitudes towards extreme risks, through the investor’s preference for skewness. The resulting performance measurement framework involves a penalty for unsuitability that can be substantially aggravated, especially for investors who simultaneously exhibit a strong aversion to volatility and asymmetry risks.