Open Access journalChoosing an optimal investment in information security is an issue most companies face these days. Which security controls to buy to protect the IT system of a company in the best way? Selecting a subset of security controls among many available ones can be seen as a resource allocation problem that should take into account conflicting objectives and constraints of the problem. In particular, the security of the system should be improved without hindering productivity, under a limited budget for buying controls. In this work, we provide several possible formulations of security controls subset selection problem as a portfolio optimization, which is well known in financial management. We propose approaches to solve them using existing single and multiobjective optimization algorithms