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During the past few years, there have been some turbulent events on world' economy, which have significantly influenced the performance of companies. Therefore, there is an urgent need to use a robust method to handle the existing uncertainties on the performance of the companies. This paper uses Evidence Theory to present an innovative and practical approach to consider the experts' opinions which are based on the available evidence regarding the factors that influence the stock market. Subsequently, the study proposes a way to determine the changes in these factors from possible scenarios on historical data to find the return range of different investment alters to be used in robust optimization. Moreover, in a case study, the sensitivity of the Iranian stock market to exchange rate fluctuations is examined under a set of scenarios which was due to the ambiguousness of a unified viewpoint of that rate's value midst experts as one of the noticed factors. The preliminary results of a real-life case study reveal that the proposed approach is useful practically and productively.

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