If you use Window:
you should check the Launch4j (http://launch4j.sourceforge.net/), this program can create .exe, and Launch4j have the Environment Variables parameter, you can create the parameter JAVA_HOME to each application.
if you use Unix:
You can create sessions and edit the JAVA_HOME for each session, and run your application since of each session
or
I'm not sure, but I believe you can create a "C" or "C++" program and execute command lines, and execute the command "SET JAVA_HOME=...", and next "java -cp ./dir/... classMain" or you can do this on a console