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As organization's performance depends on the projects it implements, selecting the most appropriate set of projects given limited resources is a crucial decision. In such project portfolio selection decision, the combined analysis of portfolios' returns and risks, i.e. risk-return optimization, is essential since a project portfolio with a high attractive expected return might also expose the organization to a large loss. Furthermore, as these two variables are influenced by some external threats and opportunities that may affect the returns of one or more projects simultaneously, it is crucial to incorporate such effects into the optimization model. However, the literature is underdeveloped in such critical incorporation. Inspired by "modern portfolio theory", an effective approach in (financial) portfolio selection problem, in this paper, we propose a new approach to solve the project portfolio selection problem, which comprehensively considers the effects of threats and opportunities around projects in the risk-return optimization model. To demonstrate how to apply the proposed new approach, we employ a numerical example and report the results.

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