Given the complexity that involves the correct choice of shares, since there are many variables that influence the financial performance of companies listed on the stock exchange, the multi-criteria methods of decision support emerge as a tool that can assist the investor in the process of selecting shares. Thus, the present work aims to develop a framework to subsidize investors in the composition of a portfolio of shares of companies in the financial sector considering the fundamentalist analysis approach. The study defined the minimum performance filters, criteria and appropriate weights for the selection of shares in the financial sector. The portfolio was determined based on the constraints defined by investors, using the PROMETHEE V method. The work also performed an entire linear programming stage to define, given the available budget, the amount of capital that will be allocated to each share of the portfolio. The survey provides the investor with a clear and accurate method for selecting a portfolio of shares, while also enabling the customization of the proposed model according to the preferences of each investor.