The purpose of this article is to apply a linear optimization model on a portfolio of seventeen agro-industrial projects with investment restriction level in order to maximize the return to the investor. The concepts described in this article are the result of research of different models of selection of investment alternatives based on the analysis of project portfolios and of those through which it is possible to calculate the discount rate, such as the capital asset pricing model (CAPM). By optimization portfolio of projects, it is understood that through different mathematical models, a combination will be found that maximizes profits, and is under this premise that the article presents a way of choosing investment alternatives with rate determination opportunity for the stakeholder. Similarly, the article provides a structured and technical way that maximizes the allocation of the investor’s money in selecting alternatives that will generate the highest level of profitability.