In this work, a problem of selecting a subset of molecules, which are potential lead candidates for drug discovery, is considered. Such molecule subset selection problem is formulated as a portfolio optimization, well known and studied in financial management. The financial return, more precisely the return rate, is interpreted as return rate from a potential lead and calculated as a product of gain and probability of success (probability that a selected molecule becomes a lead), which is related to performance of the molecule, in particular, its (bio-)activity. The risk is associated with not finding active molecules and is related to the level of diversity of the molecules selected in portfolio. It is due to potential of some molecules to contribute to the diversity of the set of molecules selected in portfolio and hence decreasing risk of portfolio as a whole. Even though such molecules considered in isolation look inefficient, they are located in sparsely sampled regions of chemical space and are different from more promising molecules. One way of computing diversity