This research aims to determine the optimal stock portfolio as the basis for the determination of investment in shares of companies at the Jakarta Islamic Index listed on the Indonesia stock exchange. The research period is the period December 2011 - may 2015. This research is quantitative descriptive research. The population of the research is 30 companies at the Jakarta Islamic Index listed on the Indonesia stock exchange period December 2011 – may 2015. The selection of the sample was determined by purposive sampling technique with the criteria is a company that continuously entered at the Jakarta Islamic Index during the period of observation December 2011 – may 2015 and don't do stock split during that period, so that the obtained samples as many as 19 stocks. The methods used in this study is a single index model. The results show there are twelve stocks that a candidate for a portfolio of nineteen stocks that are examined. Twelve such optimal portfolios are expected to have a return of 0.019867 or 1.98% per month and the risks that have to be faced by investors over its investments on the stock of twelve is 0.000264 or 0.02%.