The Research On Futhures Hedging Model Based On Capital Constrain

The paper is completed during the research on National Natural Science Foundation ofChina (NSFC) project 'Research on Optimization Theories and Models of Futures Hedging' (NO: 70571010), China Futures Association project 'Research on Management System of Trade Risk in Chinese Futures Market ' (NO: GT200410), China Futures Association project 'Research on Risk Management of Futures Trade' (NO: ZZ200505) and Science and Technology Program of Dalian City project 'Research on Risk Management System of food grain Futures in Dalian' (NO: 2004C1ZC227) directed by the tutor.The function of risk transfer in futures markets mainly implements by hedging, so the key issue of futures markets is the determination of hedge ratio. On the basis of considering the capital requirment, this paper sets up two models.The first one is the single futures hedging decision model based on capital contrain and the other is the multiple futures hedging decision model based on capital contain.In the research of the single futures hedging decision model based on capital contrain,this paper brings forward the Sharp-ARIMA futures hedging decision model based on capital constrain. By using ARIMA time series to forecast the future hedging capital requirement.Then paper takes the cash in hand more than the futures hedging capital requirement as the restraints of the Sharp hedging ratios to set up The Sharp—ARIMA futures hedging decision model based on capital constrain. This solves the problem of deciding the ratios of single futures hedging based on capital constrain. By using the historical futures data of WS411, we validate the model's practicability. The characteristics lies on three aspects: Firstly, the decision model considered the influence of capital constrain to the futures hedging to avoid the failure of hedging because of being hard up capital. Secondly, we put forward the a new method to forecast hegding capital requirement, this method can reflect the first order balance and seasonal change of futures' price. Finally, this model open out the relationship between hedging cash in hand and hedging ratio.In the research of multiple hedging model, this paper puts brings forward the multiple futures hedging decision model based on capital contrain. On the basis of minimum variance hedge ratio, this paper forecasts the covariance matrix of futures and spot by MVGARCH model, constucts the target funtion of the multiple MV futures hedging decision model based on capital contrain.By using the Multi- Monte Carlo Simulation, the paper simulate the distribution of futures' prices and spot's price after hedging, then ensures the loss of the multiple futures hedging, and finally builds up the restriction of capital requirment of multiple futures hedging. The modle settles the problems of present mutiple futures hedgingthat don't reflect the capital requirment.The character of the model is firstly that it confirms the capital requirment of mutiple futures hedging which can reflects in hedging ratio,aviods the failing of hedging caused by capital contrain;Secondly, it puts forward the forecasting theory of capital requirment of multiple futures hedging, exploits new study thought of capital requirment of hedging. Thirdly, it forecasts the covariance matrix of futures and spot by MVGARCH model, improving the veracity of the hedging ratio.