The problem of portfolio optimization under uncertainty is considered. For its solution the application of fuzzy sets theory is suggested. Fuzzy portfolio optimization problem is stated; its model is provided and investigated, as well as the algorithm of its solution is presented in the article. The problem of multicriteria fuzzy portfolio optimization is also considered and investigated. This problem includes two main criteria – portfolio profitability and risk. A mathematical model of this problem is constructed, explored and the sufficient conditions for its convexity are obtained. For better estimation of stock profitability, Fuzzy Group Method of Data Handling (FGMDH) for stock price forecasting is suggested. The experimental investigations of the suggested approach are carried out and their results – optimal portfolios based on the projected stock prices are presented, and its efficiency is evaluated.