Investment portfolio optimization has become more and more mature after more than 30 years of development in China's capital market. For ordinary investors, how to reasonably match holding assets to ensure a certain level of returns and reduce investment risks is an important issue. Using 100 securities in the China Securities Dividend Index as index samples, firstly, a BP neural network prediction model is established for prediction, then the CRITIC method is used to evaluate and score the 100 securities, and finally a multi-objective planning model is established for investment portfolio. The results show that: solving the optimal solution of the multi-objective programming model to obtain the investment portfolio and obtaining the investment portfolio strategy; using the appropriate prediction model, evaluation model and establishing the multi-objective programming model can not only reduce investment risk for ordinary investors, but also reduce investment risk. received a certain level of income.