In this paper we study the optimal portfolio selection problem for assets. A doubleobjective programming model is Wrst formulated for selecting optimal portfolios of asserts with transaction costs and taxes, where short sales and borrowings are not allowed. Some properties of eYcient portfolios and the eYcient frontier to the model are then derived. Based on these results, an interactive method that requires only paired preference comparison from the investor is established for solving the optimal portfolio selection problem. A numerical example is also presented to illustrate this method.