Arbitrage Possibilities in Russian Spot and Future Markets

Chetverikov Viktor ()

EERC Working Paper Series from EERC Research Network, Russia and CIS

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.

Pages: 44 pages
Date: 2000-04-05
New Economics Papers: this item is included in nep-cis, nep-fin, nep-fmk and nep-tra
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