It plans to invest $15 billion in Australia to mine and transport coal.
It sold a third of its stake in the electrical equipment maker.
The fund would be initially seeded by PSUs.
CX Partners made its maiden full exit from the company early this year.
Adani had won the projects earlier this year through tariff-based bidding.
The infrastructure firm has debt of about Rs 35,000 crore.
Reliance Infra recently said it is looking to sell stake in road projects.
It is owned by GAIL and BG Asia Pacific Holdings.
Previously, Rao was Rao CEO of Sasan Power, a unit of Reliance Power.
The stake sales could fetch Rs 6,600 crore to the exchequer.