The frequency of global or regional economic and social issues and international trade friction leads to the serious uncertainty in the settlement of foreign exchange and exchange risk in international trade, which requires companies in international trade more robust portfolio. This paper explores portfolio optimization in international trade, given the uncertainty of exchange risk, applies the worst case conditions for ValueatRisk (WCVaR) to measure the risks index, transforms the portfolio optimization in international trade into a portfolio selection problem of minmax form, builds portfolio optimization model in international trade, and gives the corresponding solution method. The empirical analysis uses the data of China’s foreign exchange market. The study is an expansion of the robust control theory in the field of risk control in international trade, and looks forward to helping companies to control and manage exchange risk in international trade more efficiently.