The problem of portfolio optimization under uncertainty is considered. For its solution the application of fuzzy sets theory is suggested. Fuzzy portfolio optimization problem during the time period is stated, its model is provided, investigated, and algorithm of its solution presented. This problem includes two main criteria – portfolio profitableness and risk. A mathematical model of this problem is constructed and explored. For better estimation of stock profitableness, Fuzzy Group Method of Data Handling (FGMDH) is suggested. The experimental investigations of the suggested approach are carried out. The results with optimal portfolios based on forecasted profitableness are presented and its efficiency is evaluated.