Portfolio optimization problem is a multi-objective optimization problem, it is necessary to consider the benefits should also consider the risks and the optimal situation is to achieve the least risk and maximum return. Papers define portfolio optimization problems, analyze the shortcomings of the existing portfolio model and the corresponding solution ideas, introduce multi-objective genetic algorithm and demonstrate the feasibility of multi-objective genetic algorithm in the application portfolio. Algorithm design process, detailed process of constructing and building a portfolio investment in line with the actual situation, put forward five objective optimization model from all angles, through a reasonable, optimized simulation test, and then select the algorithm selected from a number of programs better overall performance of the program.