In order to make a good decision in the projection investment, and the application of the projection pursuit model of particle swarm algorithm on the investment decision was studied in depth. Firstly, the development of the projection pursuit model of particle swarm algorithm was introduced, and then the brief introduction of PP and the step of constructing the PPC model were introduced. The basic theory and calculating procession of particle swarm algorithm was analyzed. And then the projection investment decision model was established. Finally a case study was carried out and the results showed that this method was simple and effective.