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Investment portfolios are typically selected to reduce investment risk. In an economic recession or depression, investment strategies tend to be short term, subtle, and uncertain. When the economy is recovering or booming, investors should approach portfolio selection differently in response to the varying investment return and risk. Therefore, this study posits that different portfolios should be selected in different stages of the business cycle. An improved function for weighting possibilistic mean and variance is proposed, and a weighted fuzzy portfolio model for various investment conditions is then derived. Finally, a numerical example is presented to illustrate that the proposed models can obtain the optimal proportion of an investment throughout the business cycle to meet investors’ expectations.