Abstract: This paper presents the modern portfolio theory and related math model, modifies the benefit and risk function from oil production plant portfolio model: the net present value instead of yield rate is as the measurement of yield function; the absolute deviation instead of variance is as the measurement of risk function. Based on the feature and requirement of oil production plant investment and management, the optimized portfolio model with mean semi-absolute deviation is developed and applied to a case study. Compared with traditional investment option methods, this model is proved to be more effective and feasible for application.

Key words: investment, portfolio, optimization, model, oil production plant