Considering the impact on the multi-index decision, propose the multi-index grey relational decision-making method based on cumulative prospect theory. This method is the first to use the [-1,1] linear transformation operator to standardize the original decision-making information and get the positive and negative ideal; According to the cumulative prospect theory and gray relational analysis define the prospect value function, and build an optimization model, solve the optimum weight vector, and ultimately determine the order of the program. Finally, through an investment decision-making model validate the feasibility and effectiveness.