Release Time:2022-07-01  Hits:

Indexed by: Journal Article

Date of Publication: 2022-06-29

Journal: 系统工程理论与实践

Institution: 经济管理学院

Issue: 6

Page Number: 1-13,58

ISSN: 1000-6788

Abstract: Acording to the theory of relationgship between futures and futures and the relationship between futures and spots, based on the minimum variance hedge ratios, this paper builds the multi-futures hedging decision model by considering capital constrain of multi-futures hedge. The character of the paper is building the model of multi-futures hedging based on capital constrain, using the forcasting model of multiple GARCH to forecast the hedging capital requirement, therefor the hedger can grasp the capital requirement in future, it can avoid the failure to hedge because of lacking money. The paper use the Dalian Commodity Exchange historical data of soja futhures, bean cake futhures and bean oil spot price to validate the decision model.

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