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This article aims to measure the gains of international portfolio diversification using a dynamic approach. To do this, we develop a conditional VAR-GARCH-DCC model of expected earnings for investors from several countries. Our sample includes the oil index and seven stock markets. We empirically show that the performance of international portfolios is superior to local performance for all investors. This performance varies depending on dynamic correlation and the weight that investors allocate to each market. Our results also show the continued superiority of international diversification over domestic diversification on the one hand, and that emerging markets continue to perform better on the other.