This paper aims to assess the role of wine as a financial asset in the diversification of French investors’ portfolios. Our 2007-2013 monthly database is composed of Liv-ex indexes and the WineDex indexes from iDealwine, an online platform for wine investment in France. We also include stocks, bonds and a risk-free asset and constitute several portfolios based on the degree of investor risk aversion, as proposed by Canner et al. (1997). Moreover, we compare wine to another alternative asset, gold. Using both mean-variance (Markowitz 1952) and mean value-at-risk (Favre and Galeano 2002) portfolio optimization, we find that portfolios with wine (or gold) are more efficient than portfolios without it. Moreover, we use the Sharpe (1964) and modified Sharpe (Gregoriou and Gueyie 2003) ratios to calculate performance and find that the higher the proportion of wine (or gold), from 5% to 50%, the higher the portfolio performance is. We also find that French wine indexes, particularly WineDex Bordeaux, are more profitable than gold or Liv-ex indexes. This suggests that French investors should invest in wine through iDealwine and not through Liv-ex.