Financial management is important for construction sector as the construction companies contribute to the development of the country. Malaysia encourages the construction sector to develop an advanced infrastructure related to transport and housing. Financial management is a multi-criteria decision making (MCDM) problem since the companies have to consider multiple goals in order to achieve the optimal decision. Therefore, goal programming is proposed in financial management to solve optimization in MCDM problems. According to the past studies, there has been no comprehensive study conducted on the optimization and comparison among the construction companies with goal programming model. Thus, this study aims to propose a goal programming model to optimize and compare the financial management of listed construction companies in Malaysia for benchmarking purpose. Six goals of financial management, namely total assets, total liabilities, equity, profit, earnings and optimum management item of the construction companies are examined in this study. The results of this study show that the goal programming model is able to determine the optimal solution and goal achievement for each construction company. Besides, the target value can be further increased according to the optimal solution of goal programming model. This study provides insights to the listed construction companies in Malaysia to identify the potential improvement based on the benchmarking and optimal solution of goal programming model.