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The foreign exchange reserves of China rise up sharply in recent years. Meanwhile, beyond Japan, China has become the country which holds the most foreign exchange reserves in 2006. Up to the end of March in 2009, the scale of reserves has reached to 1953.741 billion dollars. Because of such a large scale of foreign exchange reserves and Chinese currency structure based on US dollar, Chinese foreign exchange reserves lost a lot when the subprime crisis appeared in the United States. The problem that portfolio and risk control of foreign exchange reserves caused widespread concern again in China. Particularly, as the reason that China has the world largest scale which has already surpasses the moderate level of foreign exchange reserves, how to solve the problem of investment portfolio and the risk control of foreign exchange reserves appear extremely important.This article comes from the actual situation of the Chinese foreign exchange reserves. In the views of US dollar, Japanese Yen, EURO and Pound, by using the Eviews and the SAS software, we build up the economic model and apply the model of property theory to carry on the two times programming mathematical model. By using the Eviews software, we can obtain the minimum proportion of forecast value of each currency. And then by using the SAS software, we can quantify the anticipated returns ratio and risk degree of foreign exchange reserves and finally get the three different optimal portfolios.By combining the theoretical analysis with the demonstration research, cooperating the economic software with the specialized statistical software, inosculating the latest monthly data and quantification data, this article has become innovative and has a great practical value. It also has a great affect on the income and risk management of the foreign exchange reserves. Finally, under the situation of financial crisis, this article provides some suggestions for the portfolio and risk control of foreign exchange reserves.
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