This study aims to construct optimized portfolios of Vietnamese Stock Market based on Modern portfolio theory of Markowitz (1952) during the periods from Feb 2015 to Feb 2017. We provide empirical evidence by implement both Mean-CVaR model and robust Mean-Variance model with robust covariance estimators to compare with the traditional mean-variance model that using sample mean and covariance matrix of asset returns. , the target risks and VaR of robust mean-varian portfolios always are lower than the traditional model, the Sharpe ratio is not an exception. Besides, the empirical findings indicate the mean-CVaR portfolios under higher confidence level will return the higher VaR and CVaR.