The main goal of this paper to identify and rank the factors that influence the shareholders` decision making with regard to purchasing a portfolio of assets from the stock exchange by using a mixed approach based on two methods: Cross Efficiency and Shannon Entropy. A numerical experiment is made. The assets included in the experiment include companies listed on the Tehran Securities Exchange in 2018. The number of these companies was estimated after systematic removal and screening of 142 companies. Based on the experts’ opinions, a number of 25 factors influencing the shareholders’ decision-making with regard to stock purchase was selected Based on the experts’ opinions, a number of 25 factors influencing the shareholders’ decision-making with regard to stock purchase was Based on the experts’ opinions, a number of 25 factors influencing the shareholders’ decision-making with regard to stock purchase was selected Based on the experts’ opinions, a number of 25 factors influencing the shareholders’ decision-making with regard to stock purchase was selected. A prioritization of these factors was done by using a mixed model based on the above-mentioned approach. The results showed that the factors related to gross margin ratio on sales, to the difference between the realized profit and the predicted profit and to the price-to-book ratio were ranked on the first three positions.