“Risk Management” has become a vital topic. Since the occurrences of risks cannot be respectively pinpointed, we would like to construct robust risk measurement methods to keep risks within tolerable levels, while yielding maximum expected returns. Using traditional methods of risks measurements, variance and mean absolute deviation only take the overall discrete degree into consideration, but does not take occurrences of outlier and extreme values into account. Methods such as Value-at-Risk, Conditional Value-at-Risk and Minimum stress the importance of expected tail loss, at the expensive of the overall risks. The purpose of this paper is to propose a new risk management index, Risk-weighted method. This method will incorporate two orientation for assessing risks: to evaluate overall risks while taking the possibility of expected tail loss into consideration and to avoid losses caused by major disruption in financial market, guaranteeing certain degree of expected returns at identical risk conditions.