In recent years, China's foreign exchange reserves have increased dramatically. At the same time, in 2006, China has surpassed Japan to become the country with the largest foreign exchange reserves. By the end of March 2009, the scale of foreign exchange reserves had reached 1953.74 1 billion USD. Due to such a huge scale of foreign exchange reserves and China's dollar-based monetary structure, when the subprime mortgage crisis broke out in the United States, China suffered huge losses in foreign exchange reserves. The investment portfolio and risk control of foreign exchange reserves have once again aroused widespread concern in China. Especially, because China has the largest foreign exchange reserve in the world, which has exceeded the moderate level of foreign exchange reserves, it is extremely important to solve the problems of investment portfolio and risk control of foreign exchange reserves.

This paper comes from the actual situation of China's foreign exchange reserves. From the perspective of dollar, yen, euro and pound, the economic model is established by using e views and SAS software, and the quadratic programming mathematical model is carried out by using the asset theory model. By using Eviews software, we can get the minimum proportion of the predicted value of each currency. Then, using SAS software, the expected rate of return and risk degree of foreign exchange reserves are quantified, and finally three different optimal portfolios are obtained.

This paper combines theoretical analysis with empirical research, economic software with professional statistical software, and the latest monthly data with quantitative data, which has certain innovation and practical value. It also has a great impact on the income and risk management of foreign exchange reserves. Finally, under the situation of financial crisis, this paper puts forward some suggestions on the investment portfolio and risk control of foreign exchange reserves.