Markowitz’s portfolio selection theory was applied in overseas petroleum venture capital investment, the mean of each project’s AT cash was used as the portfolio’s return, the fluctuate rate return of project was used to reflect portfolio’s risk, the combination of minimum risk portfolio optimization decision model was established. A variety of risk definition method were explored, efficient frontier under variety of risk-defined were developed, according to different risk preferences, the investment decision-makers can choose optimal portfolio to maximize investment, so as to reduce and avoid undue loss.