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Most of the existing literatures focus on the scale of foreign exchange reserves and on the currency diversification of fixed income portfolio. We think it is necessary to distinguish the different types of the international assets before the process of currency diversification. This paper introduces a mean-variance-Skewness-Kurtosis (MVSK) optimization framework to manage the portfolios of foreign currency, foreign government bound and foreign stock respectively. We find that although difference does exist, the weights of both U.S. government bound and U.S. stock excess 50%. In order to expel the impact caused by the policy of pegging the Renminbi to the U.S. dollar and the potential political factors, this paper does robust tests by examining the portfolios of Japan and Switzerland with the same method, and arrives at similar results. This paper provides an explanation to the apparent paradox between the U.S. dollar depreciation and the significant weights of U.S. government bound and U.S. stock: the big weight is consistent with U.S. dollar assets' lower volatility compared with other counties' assets, which guarantees security of foreign reserves. [ABSTRACT FROM AUTHOR]