BoJ researchers find Japanese banks hold too many stocks and too few bonds


A new working paper from the Bank of Japan analyses what would be the optimal asset composition ratio of stocks and bonds for a bank to hold, taking into consideration correlation between the interest rate risk and equity risk in the financial capital market, and using a portfolio model.

The paper – Banks' Stockholdings and the Correlation Between Bonds and Stocks: a Portfolio Theoretic Approach, by Yoshiyuki Fukuda, Kazutoshi Kan and Yoshihiko Sugihara – finds that in determining the asset

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