Diversification of investment is an important part of corporate strategy. In this paper we studied diversified investment. Firstly, we made a classification of industries according to the growth potential. We also discussed the decision-making problems of industry combination in diversified investment with the aim of maximizing the growth rate-risk ratio. At the end of the paper, we put the case in power generation group as an example explanation. In the case, we found that power generation group bringing diversified investment into effect can achieve the goal of the group.