Discovering optimal weights in weighted‑scoring stock‑picking models: a mixture design approach

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.

Effects of Different Material Ratios on the Dissolution of Tongmai Pills

[Objectives]To study the effects of different material ratios on the dissolution of Tongmai pills.[Methods]Based on mixture uniform experiment design,the fiber,starch and grease-resin materials in Tongmai pills were proportioned.The contents of strychnine,brucine,paeoniflorin,calycosin,ferulic acid,hesperidin and salvianolic acid B in the solution were determined by HPLC,and the content of total flavonoids was determined by ultraviolet spectrophotometry.The weight coefficient of index components was determined by analytic hierarchy process,and the SAS software was used to optimize the dissolution model and calculate the dissolution parameter T40.MATLAB was used to establish a mathematical model and realize the data visualization between material ratio and dissolution parameter T40.[Results]The mathematical model between material ratio and dissolution parameter was T40=8.93-5.31X1-5.83X2+17.67X1X3(X1,X2,X3 are fiber,starch and grease-resin materials respectively,r2=0.9706,P=0.01,RMSE=0.5696).[Conclusions]Fiber can effectively promote the dissolution(P<0.05).Starch can promote the dissolution,but the effect is not obvious(P=0.05).The interaction between fiber and grease-resin can inhibit the dissolution,but was not significant(P=0.07).