Success in the investment world is made possible through the right strategies and effective analysis. In this context, stock diversification is one of the most effective ways for investors to minimize risk and increase return potential. In this study, portfolios were created based on the investor's risk perception using the Sharpe model and beta coefficients with BIST30 stocks for the year 2024. The aim is to demonstrate that unsystematic risk can be reduced through stock diversification and to show that returns can vary in either a positive or negative direction. The study theoretically and practically examines the role of stock diversification using the Sharpe model in creating an optimal portfolio in financial markets. In the application section, risk and return analysis was conducted using the 2024 BIST30 Index stocks through diversification, emphasizing the importance of the beta coefficient in creating an optimal portfolio. It also demonstrates that the Sharpe Index Model is not merely a theoretical tool but a valid method that can be used to help investors achieve their risk and return objectives. The findings suggest that individual and institutional investors can make more informed and strategic decisions by using the beta coefficient as a key indicator in their portfolio optimization processes. In a negative risk premium environment, stocks with low systematic risk protect investors from the general downward trend of the market, creating a positive alpha. The fact that the defensive strategy provides higher returns compared to riskier portfolios demonstrates its superiority under these market conditions.