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The model of Rockafellar and Uryasev and the model of Markowitz are used to manage the same portfolio of Russian stocks which included in RTS index. Simulation on historical data has been fulfilled. Model of Rockafellar and Uryasev were used in static and multistage versions. In the last case SDDP (Stochastic Dual Dynamic Program) method was used to solve problems of multistage stochastic programming. The results of the simulation are presented and some conclusions are made.