Multi-futures Hedging Decision Model Based on Capital Constrain

On the basis of the theory of relationship between futures and futures, the correlation between futures and spots, and the minimum variance hedge ratios, we build the multi-futures hedging decision model by considering capital constrain of multi-futures hedge. The multi-futures hedging model on the basis of capital constrain is the innovation of this article. We use the multiple GARCH model to forecast the hedging capital requirement. On the condition of grasping the capital requirement in future, it can avoid the failure to hedge as a result of lack of money. We use the Dalian Commodity Exchange historical data of soybean futuresbean cake futures and bean oil spots price to validate the decision model.