On the basis of a brief review of Markowitz portfolio investment model, regarding the actual situation that the investors optional portfolio of securities information is asymmetric, according to the certainty preference principle, this paper transforms the degree of the certainty of investors on the information of optional securities into the preference order relation. At the same time, by combining the prospect theory of behavioral finance, the weight function is constructed according to deterministic preference order rules, and the optimal solution of the portfolio in the value function risk framework is explored. Thus, the Markowitz portfolio investment model is extended under the behavioral finance theory. The empirical analysis demonstrates that the investors in our securities market deal with the portfolio selection under the asymmetric information mainly through linear empowerment method.