ABSTRACT In this study, optimal portfolio was selected in Tehran Stock Exchange (TSE) by using the Data Envelopment Analysis (DEA) method. Data for trading prices of 82 active stocks in the TSE, for the period of early 1388 (March 2009) to the end of the same year, were obtained from Tadbir Pardaz software. Results revealed that, in the study period of this time, the companies of Kemase, Fejam, Makbafgh and Fesorb are selected as the main priorities and four superior companies. A reference set was determined for each 82 company in two cases of input and output orientation. Also, the results showed that, in the present conditions of the TSE, stocks that are prized more than about 13,000 Rials and the stocks with a mean expected return of about less than 60% are not considered as optimal stocks