When forming a portfolio of securities, the main goal is to find a balance between the return and the risk from the investor's perspective. For a rational investor, an efficient portfolio increases the return with a given level of risk or, in other words, minimizes the risk with the desired return. To get an efficient portfolio, it is important to enter the optimal number of securities (in this case shares) into the portfolio, which means it is necessary to diversify the portfolio. This paper uses Harry Markowitz’s modern portfolio theory to form efficient portfolios or efficient frontier on the five selected stocks from the Zagreb Stock Exchange. Shares of companies with headquarters in the five Slavonian counties of the Republic of Croatia were selected for the portfolio optimization procedure. In doing so, sectoral diversification was used to reduce the influence of fluctuations in the economy on the portfolio and to define portfolios with negative correlation, minimal variance, and minimal standard deviation. The goal is to investigate which two stocks included in the portfolio, out of the five selected stocks, and in what percentage, give the portfolio with the lowest minimum standard deviation among all portfolios with the minimum standard deviation and which combination of stocks brings the highest return. To be able to carry out the procedure, the expected returns and standard deviations of each share were calculated separately as a base for projections of a series of investment opportunities which were made available to the investor. After the research has been done, it is evident that the most efficient portfolio is made up of individual stocks that have the lowest risk and individual stocks that give the highest returns.