Abstract: The structural adjustment of foreign exchange reserves is a necessary request to achieve the increment of deposit assets and keep away the risk. The extrusive problem is that there is no doable quantified tools in the fact. Using the thinking of the Markowitz model, this paper come from the change of the exchange market and found a nonlinear mathematical model to make sure the optimal structure of foreign exchange reserves. Also, this paper gives out the common solution for this problem. This is a new breakthrough about quantified analysis on the structural management of foreign exchange reserves.