3d max change the opacity of an object's edges rendered in After Effects. I want to change the opacity of the edge of an object so that when I render it and import to After Effects, it would match with the background video and feather at the edge of objects. 

Cant place images yet.
When you render in 3D Max make sure pre-multiplying is turned off.

Given the situation you want to render an object to be used for post-production within Photoshop, then…

Be sure you set the background to complete black: Rendering &gt; Environment &gt; Background &gt; Colour (click on the colour field and set
red, green and blue to 0)
Set the antialising in your render settings to Blackman - this type of antialising is quite sharp and doesn’t blur the edges. In
V-Ray this is located in Renderer &gt; Image sampler &gt; Antialiasing
Filter.
Set the file type in the common rendering dialog to tga, 32-bit, premultiplied and alpha split off, compress on.
In Photoshop, load the TGA image, double click the layer to convert it from a background layer into a normal layer.
Go to channels, CTRL-select the alpha channel, invert the selection, go back to layers and hit the delete button.


[...]

If you already have rendered your image and your alpha is accidentally
pre-multiplied, you can add a 6th step to the 5 I mentioned above. In
Photoshop go to Layer &gt; Matting &gt; Remove Black Matte. Voilà, you got
rid of the black ‘halo’ again.

Full article:
http://www.onoff.ch/2007/01/04/premultiplied-alpha-problems/