A novel technique is developed for nonlinear optimization problem which is convex, separable and having multiple objective functions. In the development of the model all the objectives and the constraints of the multi objective model are linearly approximated over suitable intervals. The linear approximations are then aggregated to account for the original problem. The developed technique has been utilized for portfolio optimization problem. Firstly, the minimum variance model has been formulated and solved with machine leaning techniques. Secondly, the risk aversion model has been formulated and solved. The results obtained are combined into a multi objective framework of convex separable programming problem. All the three problems have been solved with the help of the XGBoost, neural network, and decision forest regression models. The renowned Python machine libraries of scikit-learn and keras have been utilized. The results identified portfolios that can return more financial benefits to the investors while investing in the capital market. The results of the proposed MOCSP approach are 22.5% improved in case of risk aversion model. Additionally, 17% improvement has been recorded in case of the minimum risk model. The MAE and RMSE for both XGBoost and decision forest regression have a frail value 0.0001. MAE and RMSE for the neural network regression have been recorded 1% and 2%, respectively. Both Accuracy and F1 score for XGBoost are 91%, for neural network regression are 98%, and for decision forest are 92%, respectively.