Securities Investment Combination Optimization Model Research

In 2007 China stock market came into "Bull Market" which was expected by most investors for a long time. But the prosperity didn't stay long. Affected with the surrounding stock markets, especially the impact of the economic recession in the United States, systemic risk is increasing. Now most investors concern most whether the so-called "Bull Market" is over or not. For investors, the biggest risk is not from the market index which is in a high position, nor the relatively high valuation, but forget that the risk exists!In 1952 Markowitz proposed the Portfolio Theory and created the analysis way in financial mathematics, which was an important theoretical basis in modern Financial Economics. We use Markowitz model to establish Minimum Variance Portfolio. Firstly we calculate proceeds and risk of single assets in Portfolio Theory and the relationship between assets, and then calculate the expected proceeds and risk of portfolio. On this basis, we determine Minimum Variance Portfolio according to the rational criteria of investors' decision to invest. Based on the Mean Variance model of Markowitz, this paper establishes the optimum model in the investment portfolio and does empirical study through mathematical software Mathematica5.0, hoping to provide a certain scientific basis in practical investment.