With MPT, you're not necessarily running a business, you're holding securities/assets that cannot have a negative value. (i.e. they can't become liabilities, you can't have a stock or bond that you owe money on)
With a business, the net value can become negative and in some cases when it does, you declare bankruptcy. This is why you'd want to ring-fence/separate out the more risky ventures from your main business, so that it's a separate entity that can rise/fall on its own.
Let me tighten up my argument a bit. Assume two businesses with an 80% chance of success, where success is worth $1000, and a 20% chance of failure, where failure is worth -$2000. But of course these are stocks, so they can't be worth less than zero, so the expected value of each is $800.
But the expected value of the combined company (where all outcomes are floored at zero) is only $1280 (not $1600), because there's a real chance that one business blows through the profits of the other.
Looking at it from another perspective, this is exactly why you want to incorporate if you start a business, instead of just going as a sole proprietorship. That way you have two entities (your person and your business) and if one fails (your business goes under) the assets of the other are protected (they can't take your house).
This is why Alphabet is stupid. But in Tesla's case, the two businesses are clearly related and may benefit one another so as to compensate for this effect.
1. https://en.wikipedia.org/wiki/Modern_portfolio_theory