The paper presents art as a special object of investment. The features of works of art and art market are presented in comparison with characteristics of securities and stock exchange market. The author takes into account the following criteria: commodity features, ownership characteristic, markets’ classification, liquidity, access to information on prices (market values), kinds of values, incomes, time horizon of investment, market indexes used for art market and stock exchange indexes. The paper takes up the issue of the most important characteristic connected with any type of investment i.e. risk and rates of return. The author presents different kinds of risks related to art investment. Moreover, the multidimensional aspects of rates of return are discussed. Financial rate of return in art, as in case of securities, can be calculated on the basis of monetary fluctuations in value in time. The methods available for estimation of rates of return in art are presented: price indices, repeat sales regression, hedonic regression, hybrid model, 2-step hedonic approach. Apart from financial rates of return the importance of non-financial rates of return in art is strongly emphasized.