The evaluation of financial instruments and portfolio management has the main role in investment process. Modern portfolio theory is represented by four basic models and approaches which can help evaluate and manage financial instruments. The main pattern of modern portfolio theory is based on the assumption that analyzed data obey the law of normal distribution.The authors of the paper compare the management effectiveness of financial instruments using traditional Markowitz's approach, which is based on the normal distribution function of analyzed data, and theory of copula, which merges several distribution functions in one common. For this experiment the authors used the average daily values of five most active stocks traded on the Latvian equity market from February 15, 1999 to April 16, 2004.