Abstract: Purpose/Significance Cross-border investment in new energy enterprises has gradually matured. How to choose the optimal decision-making competition strategy for cross-border investment in an uncertain environment needs to be solved urgently. Design/Methodology Through the real option game model to weigh the factors such as uncertainty and competitiveness, poisson jump process is introduced on the basis of the basic model and extended model to describe the impact of local exchange rate on the cross-border investment strategy of new energy enterprises, and the optimal investment strategy is studied and analyzed. Conclusions/Findings There is a positive correlation between market demand and Poisson event, that is, the incidence of exchange rate fluctuations. For new energy enterprises, different levels of demand shocks have corresponding optimal investment threshold and optimal investment time. This paper discusses the different equilibrium forms of new energy enterprises entering the cross-border market and the optimal decision-making competition strategy.