The answer to your question would be that the correct relative pronoun to complete the sentence is the following one: Who. Moreover, the noun antecedent to which the pronoun refers is "artist". The sentence would be as follows: The modernistic sculpture in the shopping center was designed by an artist who had received training in Europe.
In this case, the relative clause used is an essential relative clause. A relative clause is essential when the information it provides is relevant to identify its antecedent. In the sentence above, the clause helps identify the artist; he is the one who had received training in Europe.