Abstract
In the article the author has presented the methodology of assessment of market risk connected with investing in all sorts of financial instruments such as: shares, bonds and other derivatives, e.g. RiskGrade (RG). The measure has been introduced by RiskMetrics. The article presents the application of RiskGrades methodology while choosing the optimum investment portfolio for a Polish investor who invests in shares in the Warsaw Stock Exchange. Moreover, some other risk measures have been discussed which describe the efficiency of the optimum financial portfolio.