Harry Markowitz (1952) expressed in his “Modern Portfolio Theory” investors are risk averse and they will prefer less risky portfolios. Thus, an investor will take on increased risk only if he/she getting higher expected returns. Investors can reduce their asset risk by holding a diversified portfolio of assets. Diversification may allow for the same portfolio expected return with reduced risk. But there are some problems with Markowitz’s Model. Firstly, Markowitz Model requires expected returns of all assets for model data. For investor it is imposible to reach all expected returns correctly. Optimal weight vector is very sensitive towards input parameters. Marginal changes in expected returns can result in large variations of portfolio weights. Secondly, if portfolio weights are bounded between zero and one only few assets will be combined into optimal portfolio. Thirdly, Markowitz’s model needs a lot of inputs. For minimizing these problems Black and Litterman (1992) have developed a model that combines equilibrium expected returns with beliefs of investors. In traditional mean-variance portfolio optimization relative views cannot be expressed. Behavioural finance is aimed to predict and understand the systematic financial market implications of psychological decision processes. Behavioural finance focuses on the implementation of psychological and economic principles to improve financial decision-making processes. Thus, Black-Litterman Model gives more correctible results than Mean-Variance Model. The aim of the study is to compare performances of Markowitz’s Mean-Variance Portfolios and Black-Litterman portfolios according to conventional performance measures. In the study Istanbul Stock Exchange- Kocaeli City Index is selected for setting portfolios. 17 companies which are listed in this index are used for the period from 02/01/2009 to 05/05/2011.