The purpose was determining the effect of diversification and the efficient frontier on the investment portfolio of Lima Stock Exchange in the las 4 years. The type of research carried out is quantitative and explanatory, based on the statistical information of the quotation on the Lima Stock Exchange in the period 2015-2019. The profitability and the risk can be done through by the Excel and Excel Solver program and Eviews too. Of the 11 titles selected as sample of the Lima Stock Exchange (LSE), the expected return and volatility in the last of 4 years were calculated. The most efficient portfolio set in the market was determined. Using the theory of diversification, a contrast was obtained in the results, this is why the result of volatility is of the utmost importance for investors in the portfolio, since it contributes to the decrease in risk and the increase in profitability.