In this paper, we show that the optimisation of density forecasting models for regression in machine learning can be formulated as a multi-objective problem. We describe the two objectives of sharpness and calibration and suggest suitable scoring metrics for both. We use the popular negative log-likelihood as a measure of sharpness and the probability integral transform as a measure of calibration.To optimise density forecasting models under multiple criteria we introduce a multi-objective evolutionary optimisation framework that can produce better density forecasts from a prediction user’s perspective. Our experiments show improvements over the state-of-the-art on a risk management problem.