There are many complex risk decision making problems in fields of business, industry, power and real estate. It is very useful to study the mathematical model of these problems for solving those problems. This paper proposes theory and method of a new multi-periods multiobjective conditional value-at-risk (CVaR) model. The concepts of the -VaR and -CVaR are introduced for the case of multiple losses under the confidence level vector with respective to multi-periods. A multiobjective CVaR problem with period is established to solve the minimal -CVaR model. It is show that the CVaR problem with time is equal to another optimal problem based on weight. Therefore the CVaR problem can be transformed into an approximate linear program. Finally, a multi-periods two-objective CVaR model of production enterprise is established to find out the robust period and strategy. The numerical results indicate that the best period and strategy of supplying electricity can be given based on the above theory. By sensitivity analysis, supplying electricity plan may be regulated with price and quantity to evade loss of risk.
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