Project management is the approach to managing resources in order to successful achieve specific goals of an organization. Project portfolio is set of all projects that are implemented in the organization at a time. Possible projects are characterized by sets of inputs and outputs, where inputs are resources for project realization and outputs measure multiple criteria of goals of the organization. The data envelopment analysis (DEA) is an appropriate approach to select efficient projects. The organization has its total resources in limited quantities. Designing a portfolio of efficient projects not exceeding the limited resources does not always lead to the most efficient portfolio. The paper proposes a new approach for project portfolio designing based on DEA models. Performance measures of the designed project portfolio are the efficiency of the portfolio and the effectiveness of outputs. Possible extensions of the concept are formulated and discussed.