This paper points out to loopholes in Modern Portfolio Theory (MPT) and fundamental flaws that question its validity and applicability not only for investment but for education as well. Using theoretical analysis, Monte Carlo simulations and market data I present and discuss theoretical, as well as conceptual, loopholes in the formulation of MPT and its complementing Capital Asset Pricing Model and Tobin’s separation theorems. Issues with estimation of portfolio’s mean return and variance, Mean-Variance optimization, failure of the mutual fund and two-fund theorems, portfolio size, and capital allocation are analyzed and discussed among others. Misperception of volatility as representative of portfolio’s risk is confronted against the actual portfolio risk that was not addressed in MPT’s formulation. These loopholes are inherent to MPT even when assuming that all of its assumptions are valid and that real-life aspects such as non-stationarity and heteroskedasticity could be ignored.