This study investigates the measurement of investment weight adjustment on jump risk of five Asian emerging markets. Considering the risk of rare event, we develop a stochastic jump-diffusion model for dynamic asset allocation in an international diversified portfolio. This paper contributes to finding the optimal weight on jump risks that differs from prior research by calculating the jump size and event arrival frequencies. A covariance of international assets investment is obtained by simulating the price process and constructing multiple-dimension jump diffusion on weight adjustment. We also show how to diversify the jump risks by using international assets portfolios in Asian emerging markets.