Abstarct: In the problem of portfolio optimization, Markowitz model still is the dominant approach. But when the number of investable assets and market restrictions in theory be extended out to the real world, the problem of portfolio optimization using mathematical techniques and traditional Markowitz model not be easily solved. For this reason, in this study we use artificial intelligence and heuristic algorithm (Black hole algorithm) to optimize the portfolio and the results have been compared with the results of the Markowitz model to see whether the method of Markowitz portfolio optimization algorithm works better than the Black hole algorithm or not. With regard to the fact that this study only compared the two methods, the number of 44 randomly corporations have been chosen over a period of 3 years from the beginning of 2013 until the end of 2015 from S&P500 Index, considered and the efficient frontier of two methods that have been obtained with 100 portfolios, have been compared using Sharpe ratio. We conclude that the performance of Black hole algorithm is weaker than Markowitz model in portfolio optimization.