The theory of Portfolio Selection was established by Harry Markowitz in the writing of his doctoral dissertation in statistiics in 1952. This innovative approach laid the foundations of Modern Portfolio Theory, and is based on the assumption that investors seek maximum expected return for a given level of risk, and minimal risk for a given level of expected return. This article will present a current view of the Modern Portfolio Theory, through a literature riview that will build a framework, wich will provide some important definitions for the undertanding of an investment optimum portfolio.