We present a theory for the calculation of the self-consistent-held dynamical polarizability and hyperpolarizabilities of molecular solutes described within the framework of the polarization continuum model. The formulation is characterized by the use of a cavity accurately modeled on the molecular shape of the solvated compound, and of a frequency dependent dielectric permittivity for the solvent. Calculations of the components of polarizability alpha, first and second hyperpolarizabilities beta and gamma tensors of H2CO in water and in benzene are reported and discussed.