Long-Range Planning of Asset Allocation in Pension Funds: An Application of Scenario Planning

Public pension funds in Iran will encounter serious crises in coming years. These crises could be due to elder population, accumulation of government debts, increasing the number of pensioners in comparison with the current employees, inefficient management of investments, and lack of good investment policies. One of the solutions to tackle this problem is scientific and right asset allocation of pension funds. According to the strategic nature of these decisions, in this research, scenario planning was employed to identify the possible scenarios pension funds encountering with. In order to identifying the most important and relevant uncertainties and scenarios, a combination of Fuzzy Delphi Method, Wilson Matrix, and Morphological analysis were used. Findings depicted five scenarios of oil Inflation, currency inflation, non-oil inflation, and resistant economy are the most probable scenarios and pension funds will have to allocate their assets according to the characteristics of these scenarios. This research, proposes a new strand towards a better asset allocation and strategic planning for pension funds which should be followed by policy makers and decision makers.