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This paper i4s to provide general Goal Programming (GP) models for optimal investment decision making in insurance industry of Iran as well as a case study implemented in the Iranian insurance company. Since investment decision-makings in insurance companies are based on several conflicting objectives and goals, GP is the appropriate means to be applied. The result of the proposed model provides a simultaneous solution that maximizes a decision maker’s utility. The result of the empirical tests shows that there is a meaningful difference between the
mixture of investment in the present conditions and the optimal mixture proposed by the model. It is noteworthy that in the present competitive economic conditions of Iran, applying these kinds of models gives strategic advantage to the companies that are employing such models.