The invention discloses a construction method of a multi-target investment optimization model, which is suitable for being executed in calculation equipment, and comprises the following steps of: determining a plurality of special categories participating in investment planning and a plurality of target projects under each special category, and grading and sequencing the plurality of target projects under each special category; constructing a multi-objective investment optimization model, wherein the model comprises an objective function and a constraint number, and the objective function comprises the maximum expected revenue total amount of the total company full-category project, the minimum difference between the actual deduction funds of the sub-companies and the investment demand, and the minimum difference between the actual deduction funds of the special items and the planning investment demand of the sub-companies; and obtaining the expected revenue and investment demand of each project under each special category, and solving the multi-target investment optimization model by adopting a predetermined algorithm to obtain the optimal planning amount of the sorted target projects under each special category. The invention further discloses a corresponding multi-target investment optimization model construction device and calculation equipment.