Central heating of co － generation is a kind of recognized energy saving and environmental protection technology． In recent years，this technology has been developed rapidly，and it is also the main direction of future development． A primary index system including 6 indicators，that is，natural risk，social risk，political risk，economic risk，technical risk and other risks，is constructed，and the two level index system including 18 indicators is established． The analytic hierarchy process is used to calculate the weight of the evaluation，and combining with the fuzzy comprehensive evaluation model，the investment risk is evaluated． Examples show that the established index system and the AHP － FCM model can be operated and have a good effect．