Successful management of financial instruments in terms of maximizing returns and reducing acceptable risk to the lowest possible levels is a key issue in the decision-making of every investor. By presenting modern portfolio theory, Harry Markowitz quantified risk and enabled the creation of an optimal portfolio. When creating a portfolio, it is necessary to diversify investments across asset classes and territorially in order to reduce the risk to the lowest possible level. Consequently, the paper is based on a comparison of optimal portfolios based on stock exchange indices of three different capital markets and one combined portfolio composed of the most successful components of individual stock exchange indices. The stock exchange indices used in creating optimal portfolios are CROBEX as the official index of the Zagreb Stock Exchange, SBITOP as the official index of the Ljubljana Stock Exchange and BUX as the official index of the Budapest Stock Exchange. The basic goal of this paper is to reduce the risk to the lowest possible level by diversifying the portfolio and achieving the maximum possible return by changing the share of securities in the portfolio. Consequently, portfolio optimization is an important item in the decision-making of any investor who tries to achieve the maximum possible return while accepting the lowest possible risk.