The Great Gastby, by F. Scott Fitzgerald, follows Nick Caraway, a young bonds salesman who meets the mysterious Jay Gatsby in the summer of 1922. Nick soon becomes entangled in the romantic pursuits of Gatsby, who he learns has come to West Egg in order to woo back his former love (and Nick's cousin), Daisy Buchanan, with lavish parties and an alluring, sumptuous lifestyle. Although Gatsby initially succeeds in attracting Daisy to him, he is ultimately abandoned by the fickle woman after a tragic car accident claims the life of Daisy's husband's mistress. Gatsby dies shortly thereafter... alone, despite his massive fortune.
The Cossacks, by Leo Tolstoy, explores the pursuits of Olyenin, a Russian aristocrat who has grown tired of his empty, affluent life and who seeks out meaning as a junior officer in the Russian military. After being stationed in the Caucasus, home of the Cossacks, Olyenin finds himself falling in love with a young woman, Maryanka. After a tragic battle against a band of marauders in which Maryanka's fiancé is killed, Maryanka rejects Olyenin, sending him far away from the small village.
As you can probably already see, there are many similarities between the protagonists in these two novels. Both Gatsby and Olyenin are incredibly wealthy individuals who find that their finances are not enough to provide them with a satisfying life. Both seek meaning in something outside themselves, and both find that "meaning" in the form of a woman.
Gatsby uses his money to throw ridiculous parties in hopes that Daisy will one day show up there; he is driven to accrue wealth due to the fact that he considered himself an unsuitable match for her (at least financially and socially) when they first met. Gatsby wants to win Daisy's love through his wealth.
Olyenin, on the other hand, wants to win Maryanka's love despite his wealth. Olyenin knows that the two are a poor social fit due to the vast disparity between their customs and lifestyles; Olyenin was born in the high society of Moscow, while Maryanka hails from a relatively primitive village. Reasonably speaking, there's not much of a compromise in store for these two. Olyenin knows that he can't bring Maryanka back to Moscow, but also can't envision living in a remote area of the Caucasus. Maryanka grows to understand this truth as well, which is what ultimately leads her to decline his advances.
Another common element to these characters would be the unavailability of the women they pursue. Daisy is already married to a brutish fellow, Tom Buchanan, and although she may be emotionally ready to be swept off into Gatsby's fantasy land, she is too fearful of instability to take the measures necessary to permanently separate herself from her husband. When Maryanaka and Olyenin meet, Maryanka has long been "spoken for" by the local hero, Lukashka; Olyenin's willingness to commit to Maryanka is really only solidified after Lukasha formally proposes to her. This sentiment is at odds with Olyenin's eschewing of the adulterous habits of the other Russian officers.
Ultimately, both protagonists wind up alone and with all fantasies of their love affairs being squashed by the women who own their hearts. For these two, it seems that it is not only wealth, but also romance that leads to tremendous disappointment...