Abstract
In this paper an attempt has been made to apply Sharpe Single Index Model to BSE to construct optimum portfolio. In order to construct the portfolio 30 blue chip companies of BSE with 6 years data i.e. from January 2007 to December 2012 have been considered. Besides this, an attempt has been made to test the validity of the Sharpe model to construct the portfolio. Sharpe in his single index model formulates a unique cut off point (cut off rate of return) to select the qualified securities to construct optimal portfolio. According to him Securities with highest Excess return to Beta value than this cut off point are eligible. Later percentage of funds to be invested in each qualified stock has been calculated. Finally four securities only qualified to construct the portfolio from the 30 blue chip companies of the BSE.
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