<p class="MsoNormal" style="text-align: justify; margin: 0in 0.5in 0pt;"><span style="font-family: Times New Roman;"><span style="font-size: 10pt; mso-bidi-font-style: italic;">Investment decision-making problems ar</span><span style="font-size: 10pt;">e<span style="mso-bidi-font-style: italic;"> generally multi-objective in nature such as minimization of the risk and maximization of the expected return.<span style="mso-spacerun: yes;">&nbsp; </span>These problems can be solved efficiently and effectively using multi-objective decision making (MODM) tools such as a lexicographic goal programming (LGP).<span style="mso-spacerun: yes;">&nbsp; </span>This paper applies the LGP model for selecting an optimum mutual fund portfolio for an investor, while taking into account specific parameters including risk, return, expense ratio and others.<span style="mso-spacerun: yes;">&nbsp; </span>Sensitivity analysis on the assigned weights in a priority structure of the goals identifies all possible solutions for decision-making.<span style="mso-spacerun: yes;">&nbsp; </span>The Euclidean distance method is then used, to measure distances of all possible solutions from the identified ideal solution.<span style="mso-spacerun: yes;">&nbsp; </span>The optimal solution is determined by the minimum distance between the ideal solution and other possible solutions of the problem. The associated weights with the optimal solution will be the most appropriate weights in a given priority structure.<span style="mso-spacerun: yes;">&nbsp; </span>The effectiveness and applicability of the LGP model is demonstrated via a case example from broad categories of mutual funds.</span></span></span></p>