The typical portfolio theory does not distinguish investors and asset managers. Most of investments, however, are delegated to asset managers, which leads to an Agency problem. Moreover, the Agency problem faced by the investment industry is specific as the managers can manipulate the performance of funds. In that respect, the governance specificities of investment funds have not been adequately addressed by the academic literature. The aim of this paper is to rationalize the notion of benchmark and risk management through agency problems. We then give guidance on how a consistent risk limit and attribution system can be developed. We suggest a new approach based on shortfall measures which can be integrated to a portfolio optimization system.