مقایسه رفتار سبد دارایی‌های بین‌المللی بهینه شده براساس مدل‌های مبتنی بر روش‌های همبستگی ثابت و شرطی پویا

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 uses static correlation in his model, the recent studies have shown that correlation between the assets change over time. accordingly, this research first investigates the consistency of the correlation matrices of return among the selected financial markets. in addition, developing the markowitz’s mean-variance model and using the multiple fitness functions genetic algorithm, it tries to compare the behavior of the optimal portfolios based on two models of “dynamic conditional correlation” and “static correlation”. 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 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 optimal portfolios based on the static and dynamic models.