Multi-stage Crude Oil Futures Hedging Model Considering Capital Constraints

In recent years,oil,natural gas,coal,and other energy commodity prices are in a state of violent fluctuations,more and more enterprises hope to hedge through futures and other financial derivatives to avoid the risk of the spot price.Futures hedging is a means used by investors to counter risks,but improper hedging operations may make investors face greater risks,and the gain outweighs the loss.The cases of capital loss and bankruptcy caused by hedging in the derivatives market remind people that the risks must be fully considered when hedging futures.In the course of hedging,the liquidity problem of hedge enterprises is a factor that cannot be ignored.In this paper,the capital demand of enterprises during the hedging period mainly includes two aspects:margin account and futures contract transaction cost.On the one hand,the mark-to-market system of the futures market may lead to enterprises being forced to close their positions due to insufficient margin calls,leading to mark-to-market risk.On the other hand,either selling or buying a futures contract in a futures transaction requires payment of transaction costs.This requires enterprises to strike a balance between risk reduction and cost expenditure.In this paper,considering the liquidity factors such as margin demand and transaction cost in multi-stage futures hedging,and based on margin budget constraints and cost budget constraints,a hedging model of Chinese crude oil futures based on overall risk and cost control is established with the goal of minimizing CVaR and transaction cost of futures hedging portfolio.Through empirical research,this paper puts forward the hedging strategy of China's crude oil futures and analyzes the influence of fund liquidity factors on hedging efficiency in the hedging process of enterprises,so as to provide a reference for the crude oil purchasing enterprises to avoid the risk of crude oil price.The results show that:(1)For crude oil purchasing enterprises,China crude oil futures can be used as a hedging tool to effectively avoid crude oil price risk.(2)If the hedgers pay more attention to the transaction cost target,the optimal futures position is relatively stable.When the weight coefficient of the hedging target increases,the change range of the optimal futures position is larger.(3)For the hedgers,the hedging effect of the model without considering the liquidity fund budget is better than that of the model considering the liquidity fund budget,but the daily margin call amount of the model considering the liquidity fund budget constraint is significantly smaller and controllable.