Inspired by the diffusion movement phenomenon of the molecule, a molecule-diffusion particle swarm optimization (MDPSO) is presented. The proposed algorithm (MDPSO) has attraction and diffusion phases. Once the diversity of population become low, the individuals will be dispersed and turn into diffusion phases, while if the diversity of population get high, the individuals carry out the attraction phases. It is indicated that MDPSO not only prevents premature convergence to a high degree, but also keeps a more rapid convergence rate than SPSO by applying MDPSO to portfolio problem and comparing with SPSO and other algorithms.