Considering financial limitations, organizations should choose among various investment opportunities. Wrong decision making for selecting projects may lead to waste of resources as well as opportunity cost and negative long term consequences. Thus, capital budgeting problem can be solved to make proper decisions. Some of the main parameters of these problems, e.g., cash flows, are not deterministic. In addition, budget constraints of the capital budgeting problem are soft, i.e., they can be violated. In this paper, we propose a new model for the capital budgeting problem which can deal with uncertainty and benefits from soft constraints so that it can still provide a feasible solution. Goal programming is used to increase model flexibility and robust optimisation is applied to deal with uncertainty. The model is examined with different numerical illustrations. Finally, results are analysed and advantages of the new model are discussed. Results are promising and the approach is highly tractable and easy to implement.

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