This research aims to propose an asset valuation model based on the Banzhaf value under a portfolio choice decision with a generalized utility function. In this model, an utility function on risk and return is given, and a game in characteristic function form is constructed by assigning to each subset of risk asset in the portfolio the maximum utility of all possible portfolios combined by the risk assets in the subset and the risk-free asset. Each asset is then valuated with the Banzhaf value of the game. In this paper, the proposed model is compared to the capital asset pricing model (CAPM), which is the most basic asset valuation model in modern portfolio theory, and characteristics and potentiality of development of the model are studied.