Selection of an optimal portfolio is one of the key issues in financial science, but there is no unequivocal answer to this question. This study has considered the problem of portfolio selection from the standpoint of the subject-oriented approach to cost of equity estimation, taking into account the specifics of risk perceptions of investors and their awareness about investment objects. This approach is based on the hypothesis of a similar nature of risk perception and perception of physical parameters (light, sound, etc.) and suggests a subjective measure determined on the basis of expected investing losses. Applying the subject-oriented approach allows not only to structure the assets available on the market, to identify attainable and efficient portfolios, but also to determine the indifference curve type in “risk-return” coordinates. The combination of efficient border (efficient portfolios) and indifference curve makes it possible to calculate the structure of the optimal portfolio, in the best interest of investors and representing a compromise between the objective possibilities for investment due to market and the subjective preferences of investors. The proposed algorithm for choosing a portfolio of securities on the basis of a subject-oriented approach to estimating the cost of equity is illustrated by the example of a portfolio of shares of Russian companies traded on the Moscow stock exchange. We have described how the choice of the investor and the investor’s optimal portfolio change due to the investor’s risk appetite changing. Consequently, the suggested approach allows varying the composition of the portfolio and its characteristics due to the specifics of the investor. Because of this, it seems that the application of this algorithm will allow a more flexible approach to the issue of portfolio selection and will ensure the maximum individuality of its formation, taking into account the interests of a specific investor.