由于金融市场是波动的,风险资产的预期收益率由于很多不确定性是很难估计的,本文考虑预期收益率是可能性分布(模糊数),并且在此基础上用模糊数的可能性均值表示投资组合的收益,用模糊数的平均绝对偏差表示风险,考虑了交易费用后,得到投资组合模型,最后给出了数值计算的例子. Since the financial markets are volatile, the expected rate of return of the risky assets is hard to estimate due to many uncertainties. In this paper, we consider the expected rate of return is the probability distribution (fuzzy number), and on this basis, we use the mean of fuzzy numbers Which means the return of the portfolio. The average absolute deviation of the fuzzy numbers is used to represent the risk. After considering the transaction costs, the investment portfolio model is obtained. Finally, numerical examples are given.