Abstract. This research was conducted to determine the comparison of optimal portfolio formation using the Single Index Model and Stochastic Dominance during the COVID-19 pandemic. The object of this research is the Jakarta Islamic Index (JII) stocks on the Indonesia Stock Exchange. The sampling technique used purposive sampling. The population in this study consisted of 30 company shares, then obtained 23 samples of company shares that were consistently included in the JII index calculation for the period April - August 2020.The results of calculations using a single index model produce 20 stock candidates that form an optimal portfolio, namely BTPS, ERAA, ANTM, INCO, CTRA, SCMA, BRPT, JSMR, WIKA, AKRA, UNTR, JPFA, KLBF, ASII, CPIN, EXCL, INDF, UNVR, ADRO and ICBP. The results of calculations using stochastic dominance resulted in 18 stock candidates forming the optimal portfolio, namely BRPT, ICBP, JPFA, ADRO, INDF, CPIN, EXCL, UNVR, UNTR, JSMR, AKRA, ASII, KLBF, WIKA, ERAA, SCMA, INCO and BTPS. There are differences in the expected return portfolios that are formed from the two analysis models, the single index model can produce a higher expected return (10.77%) than the expected return portfolio with stochastic dominance (5.9%).Keywords: Optimal Portfolio, Return, Risk, Single Index Model, Stochastic Dominance.Abstrak. Penelitian ini dilakukan untuk mengetahui perbandingan pembentukan portofolio optimal menggunakan Model Indeks Tunggal dan Stochastic Dominance saat pandemi COVID-19. Objek dari penelitian ini adalah saham-saham Jakarta Islamic Index (JII) di Bursa Efek Indonesia. Teknik pengambilan sampel menggunakan purposive sampling. Populasi dalam penelitian ini terdiri dari 30 saham perusahaan, kemudian diperoleh 23 sampel saham perusahaan yang konsisten masuk dalam perhitungan indeks JII periode April - Agustus 2020.Hasil perhitungan menggunakan Model Indeks Tunggal menghasilkan 20 kandidat saham yang membentuk portofolio optimal yaitu BTPS, ERAA, ANTM, INCO, CTRA, SCMA, BRPT, JSMR, WIKA, AKRA, UNTR, JPFA, KLBF, ASII, CPIN, EXCL, INDF, UNVR, ADRO dan ICBP. Hasil perhitungan menggunakan Stochastic Dominance menghasilkan 18 kandidat saham yang membentuk portofolio optimal yaitu BRPT, ICBP, JPFA, ADRO, INDF, CPIN, EXCL, UNVR, UNTR, JSMR, AKRA, ASII, KLBF, WIKA, ERAA, SCMA, INCO dan BTPS. Terdapat perbedaan expected return portofolio yang terbentuk dari kedua model analisis tersebut, Model Indeks Tunggal dapat menghasilkan expected return yang lebih tinggi (10,77%) dibanding expected return portofolio dengan Stochastic Dominance (5,9%).Kata Kunci: Optimal, Return, Risiko, Model Indeks Tunggal, Stochastic Dominance.