The main objective of this paper is to analyze whether diversification in investment entails a reduction in risk and consequently in expected returns, according to the Modern Portfolio Theory. This is achieved through the construction of investment portfolios with different levels of diversification, consisting of stocks from different sectors in the New York Stock Exchange and the Tokyo Stock Exchange, and cryptocurrencies, from 3 August 2015 to 2 August 2021. Additionally, the sample is divided into two sub-periods to isolate the effects of the crisis generated by the COVID-19 pandemic, with the second part analyzing portfolios before the pandemic took place, and the third part analyzing portfolios during the pandemic. Results show that diversifying by broadening the investment with stocks from different sectors of the same market implies a reduction in risk and a reduction in expected return. As for the effect of diversification through the use of cryptocurrencies, it is observed that, in general, including cryptocurrencies implies an increase in risk and expected return, except in one of the comparisons made, where including cryptocurrencies entails a higher expected return and a lower risk.