A combination of assets or units within investments carries the risk of failure to attain financial objectives (Connor, Goldberg, and Korajczyk, 2010). Every investment in a portfolio has its own risk and a higher expected return typically implies a higher risk level. Theoretically, portfolio risk can be eliminated through diversification. Diversification involves an investment in a very volatile individual investment in anticipation to help reduce the comprehensive portfolio volatility if the price of that investment tends to move in the opposite direction from the rest of the portfolio. Harry Markowitz is credited for creating the Modern Portfolio Theory (MPT), a theoretical framework for analyzing risk and return and their correlations in portfolios (Elton et al., 2009). Before Markowitz development, portfolio managers did not realize diversification on a wider basis because they perceived their jobs as having to choose what was according to the very best individual securities, with each security being considered impartially (Pfau, 2020) and viewed diversification to only reduce the potentiality of outsized returns. This paper critically discusses the Harry Markowitz portfolio theory and its developments.