In March 2004, Prokhorov founded the Cultural Initiatives Foundation (as part of the Mikhail Prokhorov Foundation). It is headed by Prokhorov's elder sister, Irina, a prominent Russian publisher. At one time, he financially supported CSKA Moscow's basketball, hockey and football clubs, and is a member of the Supreme Council of the Sport Russia organization. He serves as president of the Russian Biathlon Union. He is also an avid freeride/freestyle jet skier. He performs tricks on a jet ski in a professional stand-up achievement. In the "60 Minutes" interview he stated that a backflip is his most impressive trick.