The Chinese government is promoting energy conservation, environmental protection policies. Development of new energy generation projects has a very important significance. New energy construction projects,which has a long cycle and more technical problems, have high investment risks. Based on the characteristics of new energy projects, the model sets constraints. In order to maximize the overall revenue and reduce investment risk, this study uses CVaR theory to establish investment optimization model. And an example was given to verify the validity of the model based on the actual data. The results show that CVaR investment portfolio optimization model is able to optimize the ratio of investment and reduce investment risk of loss. There are certain practical value.
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