Banking system operation is classified into two main groups of resource collection and use of funds, and the use of funds has a direct correlation with banking interest. On the other hand, most banking uses are related to payment of different kinds of loans. Therefore, in this research, to optimize various bank loan portfolios based on capital asset pricing model (CAPM) of investment has been used in Melli Bank of Iran. To this end, various loans provided by the bank were classified in 10 groups and it was tried by using CAPM model to find the optimum combination of various loans. The obtained results of the fund portfolio calculation revealed that if the expected return and higher risk is considered, the allocated value is moved toward civil participation loans, leasing, hire purchase, and bailment of a capital.

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