عنوان مقاله [English]
The issue of the optimal portfolio selection has always been one of the essential concerns of the investors. One of the famous models for this purpose is the Mean-Variance model of Markowitz. While Markowitz used the static correlation in his model, the recent studies have shown the dynamics of correlation between the variables over time. Therefore, this research investigates the consistency of the correlation matrices of return among the selected financial markets. In addition, developing the Markowitz Òs Mean-Variance model and using the Multiple Fitness Functions Genetic Algorithm tries to compare the behavior of the optimum portfolios based on two models of âDynamic Conditional Correlationâ and âStatic Correlationâ. Hence, market price index of three groups of the Middle Eastern developing, South East Emerging and some of the developing countries have been collected. The findings confirm the inequality of the correlation matrices of return during the period of study and also show that there is a significant difference between the behavior of international optimum portfolios based on the static and dynamic models.