The Serie A side have been busy in the market, with Lazio midfielder Lucas Biglia becoming their 10th signing after the earlier shock arrival of Leonardo Bonucci from Juventus, which Fassone initially thought was 'a crazy idea'.
Andre Silva has already been brought in from Porto in attack, but Milan are setting their sights on another centre-forward, with three of the top players thought to be available being targeted.
"Many names have been mentioned of very strong strikers," Fassone said to Milan TV.
"We would like to have one from Belotti, Morata or Aubameyang. We will see who our choice falls to, although there are also other names who are yet to be splashed on the front pages by the media.
"Clearly we are still thinking of doing something else in that position. We are keeping all the options open and we will definitely do something beautiful.
"Fortunately we are in China now so we can hold discussions with the owners to understand what our resources are, because they are not unlimited.
"We must also reason with the coach, because the next two friendlies can give some technical indications to him and [director of sport] Massimiliano Mirabelli."
Real Madrid striker Morata was pursued by Manchester United but talks broke down, prompting the Old Trafford club to land Romelu Lukaku.
The prolific Aubameyang has been heavily linked with a move to China, with Chelsea also said to be in the mix to sign him, Borussia Dortmund chief executive Hans-Joachim Watzke having warned any interested clubs to act fast.
Torino striker Belotti, meanwhile, burst into spotlight last season, scoring 26 Serie A goals.
Fassone believes the coup of landing Bonucci from the Italian champions in a deal reportedly worth €42 million ($61.55 million) was a huge statement to Europe's top talent and means Milan are now a realistic option for stars like Morata, Aubameyang and Belotti.
He said: "I was very sceptical thinking, 'Imagine if Juventus give us Bonucci'. It was a crazy idea and we didn't even want to try it, but then Vincenzo Montella told us to continue pushing.
"It is a very important sign to see that now players in Champions League clubs want to join us.
"Buying Bonucci is a signal for the future. Leo is a warrior and a leader who will give us a lot both on and off the field."