<p>Portfolio construction is the process of investment of funds in different securities in which the total risk of portfolio is minimum while the return is maximum. It primarily involves reducing risk rather than increasing return. Constructing an optimal portfolio is a challenging task for the individual as well as the institutional investors. This study is aimed at creating awareness in the minds of investors regarding the utility of Sharpe’s Single Index Model in portfolio construction. Twenty eight securities from the S&P BSE Sensex index were selected and ranked the companies based on excess return to beta ratio. The cut-off point was calculated based on the highest value. Among twenty eight securities only seven securities were selected for optimum portfolio by using Sharpe Single Index Model. Then after cut-off point has been be used to calculate the proportion of money to be invested in selected seven securities.</p>