To demonstrate the effect of International Diversification on the risk of Investment Portfolio and has as secondary objectives: obtaining an efficient frontier for the analysis and comparison of investment options in various international markets. The present work is a type of non-experimental, quantitative cross-sectional, descriptive and explanatory research that is based on the quantification of indicators of financial assets listed on the Stock Exchange of Chile, Brazil, the United States, Switzerland, Spain, Hungary, India and Japan in the period between 2011-2019 for the formation of investment portfolios. For the purposes of the present research, 40 shares listed on the Stock Exchange of Chile, Brazil, the United States, Switzerland, Spain, Hungary, India and Japan were taken as reference universe. However, after a debugging process based on the levels of correlation between a...