Sophisticated investors rely on scenario analysis to select portfolios. We propose a new approach to scenario analysis that enables investors to consider sequential outcomes. We define scenarios not as average values but as paths for the economic variables. And we measure the likelihood of these paths on the basis of the statistical similarity of the paths to historical sequences. We also use a novel forecasting technique called “partial sample regression” to map economic outcomes onto asset class returns. This process allows investors to evaluate portfolios on the basis of the likelihood that the scenario will produce a certain pattern of returns over a specified investment horizon. Disclosure: The authors report no conflicts of interest. Editor’s Note: Submitted 28 May 2020 Accepted 21 October 2020 by Stephen J. Brown This material is for informational purposes only. The views expressed in this material are the views of the authors, are provided “as-is” at the time of first publication, are not intended for distribution to any person or entity in any jurisdiction where such distribution or use would be contrary to applicable law, and are not an offer or solicitation to buy or sell securities or any product. The views expressed do not necessarily represent the views of State Street Global Markets, State Street Corporation and its affiliates, Windham Capital Management, or GIC, Singapore’s sovereign wealth fund, GIC Private Limited, and its affiliates (collectively, “GIC”). While State Street, Windham Capital Management and GIC have collaborated for purposes of conducting research and developing this article, State Street, Windham Capital Management, and GIC are not engaged in any joint venture, affiliated in any way, or collectively providing or offering any services or products.

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具有路径相关方案的投资组合选择

老练的投资者依靠情景分析来选择投资组合。我们提出了一种新的情景分析方法，使投资者能够考虑连续结果。我们不是将情景定义为平均值，而是将其定义为经济变量的路径。我们根据路径与历史序列的统计相似性来衡量这些路径的可能性。我们还使用一种称为“部分样本回归”的新型预测技术将经济结果映射到资产类别回报上。该过程允许投资者根据情景在特定投资期限内产生特定回报模式的可能性来评估投资组合。披露：作者报告没有利益冲突。编者注：2020 年 5 月 28 日提交，Stephen J. 于 2020 年 10 月 21 日接受。棕色 该材料仅供参考。本材料中表达的观点是作者的观点，在首次出版时“按原样”提供，无意分发给任何司法管辖区的任何个人或实体，因为此类分发或使用将违反适用法律，并且不是买卖证券或任何产品的要约或招揽。所表达的观点不一定代表道富环球市场、道富公司及其附属公司、Windham Capital Management 或 GIC、新加坡主权财富基金、GIC Private Limited 及其附属公司（统称“GIC”）的观点。虽然道富、温德姆资本管理和 GIC 已合作进行研究和开发本文，但道富、温德姆资本管理、