Building an appropriate portfolio to reduce risk is an important goal of portfolio theory. Since the volatility of financial time series tends to be persistent，this characteristic affects the risk of a portfolio’s future returns. This paper constructs an optimal portfolio model with persistent financial asset volatility to reduce the future fluctuation of portfolio returns. By studying the diversification level，the effectiveness of this way of con- structing investment portfolio is investigated. Compared with the mean variance model，our optimal portfolio model of the sequence persistence is better in risk diversification. This study has more important theoretical and practical values in asset portfolio selection.