Abstract: It was assumed that investors have power utility preference, based on the optimal behavior of two types of investors’asset portfolio under complete information and incomplete information, the expected utility model of investors’asset portfolio was constructed. Under the condition that the expected utility of the wealth in the final period of the asset portfolio of the two types of investors is equal, the market information value was measured by the difference of the initial wealth input of the asset portfolio. The relationship between market information value and market fluctuation, investment period and investor risk aversion was analyzed. The monthly data of Shanghai Composite Index and Shenzhen Component Index from March 2010 to October 2020 were taken as samples for empirical study. The results show that the value of market information increases with the increase of market fluctuation, and it decreases with the increase of investment period and investor risk aversion degree. The financial market stability helps to improve the wealth utility of investors. In the face of incomplete information market, investors can improve investment efficiency through self-learning and self-protection.