The investor always prefers to have less risk and higher returns and to mitigate the risk and investors will do diversification. Diversification means combine of two or more assets, which gives the least risk and highest return. Combine of two or more assets is called portfolio. Risk and return are two fundamental and important factors for the construction of a portfolio. Every investor's motto in the construction of a portfolio is to minimize the risk and to maximize the return. An optimal portfolio is called which has the least risk highest return. Sharpe's Index Model (SIM) is the best and perfect model for the construction of an optimal portfolio. This study tries an attempt to build an optimal portfolio using Sharpe's Index Model (SIM) by using NSE NIFTY Shares.