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Portfolio optimization is an important investment strategy to find the trade-off between the risk and return. In mean-semi absolute deviation model,semi absolute deviation is employed as risk measure while the expected return of the investors is represented by the mean return. The objective of this paper is to construct the optimal portfolio that will minimize the portfolio risk and can achieve the investors target rate of return by using the mean-semi absolute deviation model. The data of this study comprises 20 construction sector companies that listed in Malaysia stock market from July 2011 until June 2016. The results of this paper show that the constructed optimal portfolio can minimize the portfolio risk at the expected rate of return. In addition, the composition of the companies invested in the optimal portfolio is different. Keywords: portfolio risk; return; investment; investors

Portfolio optimization of the construction sector companies in Malaysia with mean-semi absolute deviation model