This study focuses on comparing the performance of the single index model and mean variance optimization model in portfolio construction in Kenya using the Nairobi Securities Exchange-20 Share Index from 2002-2015. The comparison is done by constructing portfolios using both the single index model and mean variance optimization model. The Sharpe ratio is used to determine which model is better, as indicated by the higher Sharpe ratio. The study establishes that the mean variance optimization model is better when considering investments with long time horizon, whereas the single index model is better when considering investments with short time horizon. The study also concludes that the mean variance optimization model is better if the investors are risk averse, while the single index model is better when considering investors who are risk lovers.