The decision to invest should not only meet good criterion, but also right and proper. Investments in the form of stocks always contains an element of uncertainty, then an investor must consider the risks they will face. Establishment of optimal portfolio as one way to determine investment decisions is indispensable by an investor. This study purpose to find out stocks that are included in the optimal portfolio, the magnitude of funds composition of each stock, and the magnitude of expected return and risk level of the portfolio. The object of this research is a stock that is included in the Jakarta Islamic Index which analyzed using single index model. The method used in this research is descriptive with quantitative approach. The population in this research as much as 36 stocks, then the determination of the sample using a purposive sampling technique. Based on the criteria that are set then the retrieved sample as many as 25 stocks. The results of research showed that the 25 stocks included in the study sample, there are 6 stocks forming optimal portfolio. These stocks are MPPA, AKRA, SMRA, UNTR, KLBF, and ASRI, with the fund composition of each stocks are 14,15%, 2,26%, 56,38%, 2,66%, 24,05, and 0,50%. The formed portfolios generate expected return of 4,1014% with 0,0692% of risk. Investor who will invested fund in stocks should not only invest in one stock alone. This is because the risk covered will be relatively larger.