The rapid development of the world economy, various investment activities more frequently, how to measure whether the activities of an investment profits? So people began to explore how an investment portfolio in order to gain maximum benefit. Modern portfolio theory is about investment behavior under conditions of uncertainty theory of income, in 1959, Markowitz presents a normative model on portfolio selection: the mean - variance model, which is based on a series of assumptions the derived optimal portfolio, the successor to the VAR model is also proposed. In this paper, the portfolio performance evaluation model for empirical research. Eventually obtain optimal portfolio so that investors get the most benefit.