Diversification is a key tool in the process of constructing an optimal investment portfolio, due to the fact that the rate of returns on a different asset classes is differently correlated, from the perfect correlation (positive or negative) to the absence of correlation at all. The effect of the inclusion of real estate (direct and indirect forms) in a mixed assets portfolio is significant, which contributes to the historically low level of correlation between real estate and traditional asset classes. During the global financial crisis, the variability of the rate of return on all asset classes was increased. Accordingly, the inclusion of a real estate increases the diversification in a mixed-assets portfolio, which results in the fact that the diversification is failing. The implementation of Markowitz Modern Portfolio Theory (MPT) and asset allocation optimization, analyses the importance of real estate in the diversification of the investment portfolio during the period of the financial crisis.