Certain literature that constructs a multifactor stock selection model adopted a weighted-scoring approach despite its three shortcomings. First, it cannot effectively identify the connection between the weights of stock-picking concepts and portfolio performances. Second, it cannot provide stock-picking concepts’ optimal combination of weights. Third, it cannot meet various investor preferences. Thus, this study employs a mixture experimental design to determine the weights of stock-picking concepts, collect portfolio performance data, and construct performance prediction models based on the weights of stock-picking concepts. Furthermore, these performance prediction models and optimization techniques are employed to discover stock-picking concepts’ optimal combination of weights that meet investor preferences. The samples consist of stocks listed on the Taiwan stock market. The modeling and testing periods were 1997–2008 and 2009–2015, respectively. Empirical evidence showed (1) that our methodology is robust in predicting performance accurately, (2) that it can identify significant interactions between stock-picking concepts’ weights, and (3) that which their optimal combination should be. This combination of weights can form stock portfolios with the best performances that can meet investor preferences. Thus, our methodology can fill the three drawbacks of the classical weighted-scoring approach.
