In order to improve the decision-making ability of exploration and development investment of petroleum enterprises, our study focuses on the optimization method of investment structure. First, this paper analyzed ten risk factors that are most likely encountered by oil enterprises in exploration and development investment by using Markowitz's portfolio theory. A conclusive objective function was established based on the net present value mean-variance, semivariance, and semi-absolute deviation risk model. Second, studying the link between regional exploration investment and expected reserves, trapping exploration investment and controlling reserves, evaluating exploration investment and proved reserves, the relationship model between reserve price and reserves was constructed through commercializing reserves. By studying the relationship between exploration investment and reserves, development investment and production, we used the portfolio optimization theory to establish a comprehensive model for the optimization of oil and gas multi-stage exploration and development investment structure. Third, based on the established exploration and development portfolio optimization model and the actual economic evaluation needs of oil fields, this study established the medium and long-term investment model, block equilibrium constrained investment structure optimization model, reserve replacement rate constrained investment structure optimization model, and short-term investment structure optimization models. These models provided a basis for different investment decisions of oil and gas exploration and development.