Portfolio selection using the ADELAIS multiobjective linear programming system. The ADELAIS (Aide à la DEcision pour systèmes Linéaires multicritères par AIde à la Structuration des préférences), multiobjective linear programming system is proposed as a decision tool for the selection of stock portfolios. A portfolio selection model is developed and applied to a set of fifty-two stocks from the Athens stock exchange for the two years period of 1989--1990. On the basis of this model, ADELAIS is used to design and evaluate alternative portfolios by considering a set of well-known criteria such as return, price earnings ratio, volume of transactions and dividend yield. A final portfolio of maximal utility is obtained as an outcome of an interactive process of individual inter alternative preference modelling.