大量个人投资者充当证券市场投资主体是中国证券市场的一大特色，调查显示，我国证券市场上的个人投资者以中低等收入的工薪阶层为主，家庭主要经济来源为工资收入，证券投资意愿很强，但投资经验相对缺乏，证券投入占家庭金融资产比例较大，这充分说明我国个人投资者的抗风险能力很弱，投资者对投资市场的行情有强烈的依赖性，因此有效的证券投资模型对于指导个人投资者具有重要的意义。 本文选取1998年全国大学生建模竞赛的题目作为研究问题的原型，首先根据题中抽象出来的数据，利用非参数化前沿分析法建立投资组合的有效界面（效率前沿界面），从而得出用于风险项目投资部分资金的分配比例图，再根据投资的不同风险偏好画出投资者效用的无差异曲线，利用其与效率前沿的切点确定划分风险投资和无风险投资（即银行存款）的比例，进而得到总的投资策略。随后，收集2006到2009年的数据，将模型扩展到实际应用中，即在考虑个人将部分财产用于投资基金，股票，债券，黄金市场，外汇等方面时，具体的投资策略。最后给出在实际应用中根据市场情况适合不同风险偏好者的投资建议。

As the survey indicated, individual investors take a major part of China's investment market. Because most individual investors are low-income and lack of investment experience, their risk resistance is too weak comparing with the instability of the market. Therefore effective Investment Model for the guidance of individual investors is significant. The problem of 1998 National College Modeling Contest is considered in this thesis. According to the simplified data in the problem, an effective frontier interface is established, in order to get the ratio map of various risk-investments. Investors’ utility indifference curve on the basis of investors’ risk preferences is plotted. the cut point with the effective frontier interface is got, which can determine the proportion of risk and risk-free investments. This model is then extended to practical applications based on the data of funds, stocks, bonds, gold market and other aspects from 2006 and 2009. Finally, some advices are suggested to the investors depending on the market and risk preference.