In the standard polar code construction, the message vector $(U_0,U_1,\dots,U_{n-1})$ is divided into information bits and frozen bits according to the reliability of each $U_i$ given $(U_0,U_1,\dots,U_{i-1})$ and all the channel outputs. While this reliability function is the most suitable measure to choose information bits under the Successive Cancellation (SC) decoder, there is a mismatch between this reliability function and the Successive Cancellation List (SCL) decoder because the SCL decoder also makes use of the information from the future frozen bits. We propose a Dynamic Programming (DP) construction of polar codes to resolve this mismatch. Our DP construction chooses different sets of information bits for different list sizes in order to optimize the performance of the constructed code under the SCL decoder. Simulation results show that our DP-polar codes consistently demonstrate $0.3$--$1$dB improvement over the standard polar codes under the SCL decoder with list size $32$ for various choices of code lengths and code rates.