The article suggests methods for construction of mutual investment funds’ ranking that take into account the investor’s attitude towards the risk. The theoretical model of the investor’s behavior is suggested that is based upon the piecewise linear approximation of the utility function. The methods suggested has been tested on the sample of 52 open mutual investment funds. It is shown that when ranking is completed as based upon the “perceived potential / perceived risk” index, selectivity of the investor’s profile is high that proves the viability of methods.