This paper build a private equity exit risk avoiding model base on risk-weight exit return using grey relational analysis. We analysis the risk exist in private equity exit process. The human resources, executive management, timing, exit cost exit propagandize and hiring of exit consultants is the mainly risk in private equity exit. The exit ratio of return, exit cost, exit degree, exit realization speed, related staff attitude and exit environment are the impact factors contributed to these exit risk. We use 18 sub-indicators to evaluate these six impact factors. Get the optimal solution of multi-objective risk avoiding model. An example is used to demonstrate the model in this paper.