The portfolio selection problem is always one of the most important problems of finance and investments due to its great implication and vital role in financial institutions. Many of researches in this area are based on the mean-variance model, originally proposed by Markoitz. In the last two decades, however, researchers and investors have attracted to some new models that import some new factors other than mean and variance in the portfolio decision problem, such as different risk measures, etc. In this research we compare performances of mean-variance, Elton-Gruber-Padberg (EGP) and mean-variance-skewness based on genetic algorithm in Tehran Stock Exchange. Moreover, in order to find the...