A new fuzzy linear programming model with fuzzy numerical objective function is proposed to solve the fuzzy linear programming problem with fuzzy number as objective function. The model is transformed into a classical linear programming problem by defining a new auxiliary function, and then solved by the classical linear programming problem solving method. Compared with the existing models, this model is more general and easy to calculate. An investment problem is selected to verify the model, and it shows the effectiveness of the model in practical application.