Companies pursue their goals by selecting and implementing a combination or portfolio of actions that consume resources. The extent to which these actions help attain the companies’ objectives is often contingent on whether a given future scenario is realized. We present a model-based framework for supporting the selection of a portfolio of actions that is robust across different scenarios while accounting for the impacts that the actions may have on the probabilities of these scenarios. For the purposes of this framework, we develop a new portfolio decision analytic model and algorithms to help generate recommendations for selecting actions, when (i) the actions’ scenario- and objective-specific impacts as well as preferences between the objectives are incompletely specified, and (ii) information regarding scenario probabilities is incomplete and may depend on the selected actions. The framework is applied in a high-impact case on supporting the strategy process at the payments unit of Nordea Bank Abp, the largest retail bank in the Nordic countries.