In the 1920s and 30s, Rubinstein appeared in a number of plays, and in Staat's "Istar" at the Paris Opera in 1924. Between 1928 and 1929, she directed her own company in Paris with Nijinska as choreographer. She commissioned and performed in Maurice Ravel's "Boléro" in 1928. Other works developed in 1928 were Massine's "David", with music by Sauguet; and "Le Baiser de la fée", with music by Stravinsky, and choreography by Nijinska. The repertoire also included The Firebird ("L'Oiseau de Feu") with music by Stravinsky, and choreography by Fokine; this had been one of the most sensational creations for the Ballets Russes. Her company was revived in 1931 and 1934, with new works. She closed the company in 1935, and gave her last performance in the play "Jeanne d'Arc au bûcher" in Paris, 1939.