  Portfolio selection is one of the most important and vital decisions that a
real or legal person, who invests in stock market should make. The main purpose
of this paper is the determination of the optimal portfolio with regard to
stock returns of companies, which are active in Tehran's stock market. For
achieving this purpose, annual statistics of companies' stocks since Farvardin
1387 until Esfand 1392 have been used. For analyzing statistics, information of
companies' stocks, the Cuckoo Optimization Algorithm (COA) and Knapsack Problem
have been used with the aim of increasing the total return, in order to form a
financial portfolio. At last, results merits of choosing the optimal portfolio
using the COA rather than Genetic Algorithm are given
