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To this end, this paper proposes a new method, namely, the multivariate<jats:italic>t<\/jats:italic>-Copula-POT-PSRM method, which combines three models, that is, the multivariate<jats:italic>t<\/jats:italic>-Copula, the peaks over threshold (POT), and the power spectral risk measures (PSRM), to set futures portfolios\u2019 maintenance margins. In the empirical analysis, we first construct four kinds of futures portfolios and set their maintenance margins by using the new method. Then, we introduce two evaluation indicators, namely, the prudence index (PI) and the opportunity cost index (OCI), to assess the effectiveness of the proposed method. We also compare the outcomes of the two evaluation indicators of the new method with those of the widely used linear additive model. The empirical results show that the new method can, respectively, lower the OCI value of all four kinds of futures portfolios for the In-sample period and the Out-of-sample period without significantly reducing the PI value as against the traditional model, which implies that the proposed method can be used to balance security and investment efficiency in the futures market.<\/jats:p>","DOI":"10.1155\/2014\/325975","type":"journal-article","created":{"date-parts":[[2014,3,20]],"date-time":"2014-03-20T21:02:08Z","timestamp":1395349328000},"page":"1-11","source":"Crossref","is-referenced-by-count":0,"title":["A New Method for Setting Futures Portfolios\u2019 Maintenance Margins: Evidence from Chinese Commodity Futures Markets"],"prefix":"10.1155","volume":"2014","author":[{"ORCID":"https:\/\/orcid.org\/0000-0003-3862-0224","authenticated-orcid":true,"given":"Chi","family":"Xie","sequence":"first","affiliation":[{"name":"College of Business Administration, Hunan University, Changsha 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