<p>Return is an essential characteristic of an investment whose positive expected value fulfils its purpose. The way of expressing (expected) return is thus a crucial (technical) issue in the investment decision-making process. Return is often stated deterministically, by means of an average characteristic, which fails to provide information about its uncertainty, ambiguity. This imperfection can be partly remedied by a return with an explicitly stochastic nature. Determining the probability distribution, its (invariable) parameters, or integrating it into a mathematical model can be a difficult task, resulting in a distortion of return expectations. Moreover, the return is nowadays increasingly burdened by non-probabilistic influences, for example in the form of various unexpected socio-economic, geopolitical or natural events. It is then more sensible to express the return as a fuzzy element, a (triangular) fuzzy number, which can also be handled very well computationally. Although the fuzzy concept is used in scientific publications, the genesis of its origin is often completely neglected. Thus, the main mission is to reflect on the shape of the fuzzy number, and the determination of its parameters, which will lead to a proper description of reality, in the context of the necessary integration into the multi-objective optimization model, which will be the cornerstone of the fuzzy method supporting a complex selection of the investment portfolio. The proposed fuzzy approach is demonstratively applied to making a portfolio of mutual funds, in the light of the influence of the sustainability phenomenon.</p>