Abstract：Currently, both institutional and individual investors in China are increasingly incorporating artworks into their investment portfolios. From the perspective of optimizing investment strategies, one of the most effective ways to reduce overall portfolio risk is to enhance the diversity of art investments, thereby decreasing the correlation between assets. By applying models based on modern portfolio theory, such as risk-return assessments and the mean-variance model, and by filtering, processing, and analyzing data from the price indices of three major markets—fine art, stocks and bonds, and real estate—it becomes evident that the Guohua 400 Index and Oil Painting 100 Index of China's calligraphy and painting market exhibit low correlation with other art investment sectors. This suggests that diversification within the art market can help mitigate overall portfolio risk. For art investment institutions and individual investors, it is essential to introduce calligraphy and painting artworks as new asset allocations to improve the portfolio's risk-return profile and to balance profitability with security. Additionally, attention should be paid to the differing investment characteristics of art sub-markets to enable differentiated and personalized asset allocation. When investing in trending artworks, it is crucial not only to focus on their short-term returns but also to consider the positive externalities and long-term benefits of art investment.
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