This work addresses the challenge of diversification in portfolio optimization problems, especially when performance is measured by Return on Investment (ROI) and decisions involve physical assets. It is shown that using ROI can lead to investment concentration in a few assets, reducing portfolio diversity. To overcome this limitation, two strategies based on the Herfindahl–Hirschman Index (HHI) are proposed: (1) extending the objective function by adding a term that encourages diversification, and (2) an additional optimization step focused on maximizing diversity while keeping return and risk within acceptable limits. These approaches enable the construction of more balanced and robust portfolios, expanding the set of options for decision-makers and enriching the analysis of trade-offs between efficiency and diversification.