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Supply chain alliance has become a new form of organization and cooperation in enterprise led by alliance idea of "Growth externalization, control internalization", but there is much risk in the alliance because of "sole win" subconsciousness of many alliance enterprises. The alliance enterprises must give different degrees of attention to other alliance enterprises in order to realize anticipative strategic objective in the risky surrounding. The paper identifies and measures attention degree to other alliance enterprises by setting up optimization model of attention degree for enterprises in supply chain alliance based on CVaR, so to provide the basis for taking different management measures according to various attention degrees of targets, maintaining and obtaining maximum return for alliance enterprises. At same time alliance ability of alliance enterprises will be improved to a certain extent.