This thesis investigates the evolution of optimal portfolio construction and systematic risk in the Hungarian equity market across two periods: 2013–2015 and 2023–2025. Using Modern Portfolio Theory, it examines the efficient frontier, Minimum Variance and Tangency Portfolios, and beta estimation for OTP Bank relative to both the BUX index and the tangency portfolio. The results reveal a notable improvement in the risk-return profile of optimal portfolios in the more recent period, driven by enhanced diversification and more stable market conditions. Beta estimates show OTP’s increasing sensitivity to market-wide movements, while its alignment with the tangency portfolio remains weak.