PORTFOLIO SELECTION PROBLEM IS A CLASSICAL FINANCIAL PROBLEM INTRODUCED BY MARKOWITZ AND INCLUDES TWO PARTS CONSIST OF RISK AND RETURN. THIS MODEL ESTABLISHED A FUNDAMENTAL BASE FOR SINGLE-PERIOD PORTFOLIO SELECTION. IN THE REAL WORLD THE PORTFOLIO STRATEGIES ARE USUALLY multi-PERIOD BECAUSE THE INVESTOR IS ABLE TO RE BALANCE HIS PORTFOLIO IN EACH TIME PERIOD. RE BALANCING THE PORTFOLIO, THE INVESTOR INCURS TRANSACTION COSTS. ALSO, multi- PERIOD MODELS CAN BE DEFINED AS STOCHASTIC. SCENARIO TREE GENERATION CAN IMPROVE THE PERFORMANCE OF multi-PERIOD STOCHASTIC PROGRAMMING.AT THE BEGINNING VARIANCE WAS CONSIDERED AS A RISK MEASURE.HOWEVER, BOTH THEORIES AND PRACTICES INDICATE THAT VARIANCE IS NOT A GOOD MEASURE OF RISK AND HAS SOME DISADVANTAGE. THEREFORE, DOWNSIDE RISK MEASURES, SUCH AS SEMIVARIANCE, DOWNSIDE BETA COEFFICIENT, VALUE-AT-RISK (VAR), OR CONDITIONAL VALUE-AT-RISK (CVAR) SHOULD BE REPLACED WITH VARIANCE. IN THIS PAPER, A multi OBJECTIVE MODEL IS PRESENTED FOR PORTFOLIO SELECTION, CHARACTERIZED ON THE BASIS OF THREE PARAMETERS: THE EXPECTED VALUE, DOWNSIDE COEFFICIENT AND CONDITIONAL VALUE AT RISK (CVAR) AT A SPECIFIED CONFIDENCE LEVEL.