The purpose of this paper is to apply multi-criteria decision aid to build an attractive stock portfolio of companies listed on the Casablanca stock exchange. The sample consists of annual observations of fifty-nine companies, observed over the period from 2010 to 2018. Thus, we used an outranking method ELECTRE IV, and we applied Mathematical Programming with Multiple Objectives (MPMO). That permitted the selection of the best-ranked shares on the basis of the chosen criteria, the determination of capital proportions to invest in each alternative, and the selection of more profitable, more liquid and less risky portfolios. The results obtained show the ranking average of fifty-nine stocks and the selection of only two portfolios P3 and P6 that allow the manager to maximize his satisfaction functions
