Design portfolio using a scenario planning approach using Assumption-based planning

Subject Areas : Financial engineering

feridoon Rahnamay Roodposhti ¹ , Neda Shirinbayan ²

1 - استاد دانشکده مدیریت و اقتصاد دانشگاه آزاد اسلامی واحد علوم و تحقیقات
2 - دانشجوی کارشناسی ارشد مهندسی مالی دانشگاه علم و فرهنگ

Received: 2016-02-18 Accepted : 2016-10-19 Published : 2016-09-22

Keywords: uncertainties, Portfolio, Scenario, Assumption-based planning,

Abstract :

The market capitalization of the main pillars of the economy of any country is mentioned as a showcase and a thermometer of the economy, which represents the country's economy. Design portfolio as one of the most important issues in the financial sector has been considered by capital market participants. This research started by identifying the most important factors affecting capital markets and the use of questionnaires and enjoying views of financial experts to select the critical factors deals. Data obtained from this phase was followed by an assessment questionnaires matched. Experts in this questionnaire to select one of the dimensions of uncertainty and its impact on the index were equal exchange industry. In order to calculate the similarity between uncertainty and industries Kappa test was used. Then analyzes the results of the previous stage using planning assumptions were based. Finally, with regard to the selection of possible scenarios and possible choice of industry-based planning method was assumed. To examine and analyze statistical data and drawing graphs Spss and Excel used. Assumption-based planning of futures studies  methods. In this study, a new quantitative approach to portfolio design was introduced. The results show assumption-based planning used for portfolio optimization  and also outperformed the market index is.