The establishment of the investment portfolio was intended to minimize the risk of investment. The purpose of this study was choose the optimal portfolio of stock from six different industrial sectors in the Indonesia Stock Exchange (IDX). The sample was 45 leading stocks within the sector were Referred LQ 45 index from 2012 to 2016 in the Indonesia Stock Exchange (IDX). Portfolio method used in this research was the Markowitz method by using Capital Asset Pricing Model (CAPM) approach and the weighted average proportion. The study concluded that the alternative portfolio 5 (P5) of the most optimal been shown to have the smallest variation coefficient Compared to the five other alternative.

Keywords : Optimal Portfolio, Individual Stocks, Capital Asset Pricing Model.