Abstract. The author investigates multistage stochastic portfolio optimization problems with application of Kusuoki’s and spectral coherent risk measures. The back-testing process is developed to evaluate the performance of the models using historical data. Proportionate share of the portfolio assets is found at different time stages for models with Kusuoki’s and spectral coherent risk measures. The multistage stochastic portfolio optimization models are measured by testing in terms of the portfolio value. Minimum portfolio losses are calculated for different time stages.

Keywords: portfolio optimization, risk measures, assets.