Arbitrage Possibilities in Russian Spot and Future Markets
Chetverikov Viktor ()
EERC Working Paper Series from EERC Research Network, Russia and CIS
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
New Economics Papers: this item is included in nep-cis, nep-fin, nep-fmk and nep-tra
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