Arbitrage Possibilities in Russian Spot and Future Markets

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Arbitrage Possibilities in Russian Spot and Future Markets

Author Info

Chetverikov Viktor ()

Abstract

The authors apply the single-index Sharp model and construct the effective Markowitz set for the most liquid stocks of Russian companies listed in the Russian Trading System. Their stability during 1996-98 is studied for various investment horizons.

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Paper provided by EERC Research Network, Russia and CIS in its series EERC Working Paper Series with number 98-057e.

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Length: 44 pages
Date of creation: 05 Apr 2000
Date of revision:
Handle: RePEc:eer:wpalle:98-057e

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This paper has been announced in the following NEP Reports:

NEP-ALL-2004-12-12 (All new papers)
NEP-CIS-2004-12-12 (Confederation of Independent States)
NEP-FIN-2004-12-15 (Finance)
NEP-FIN-2004-12-12 (Finance)
NEP-FMK-2004-12-12 (Financial Markets)
NEP-TRA-2004-12-12 (Transition Economics)

References listed on IDEAS
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Other versions:
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Other versions:
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Other versions:
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