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Optimal asset allocation for retirement funds: a South African perspective
Includes bibliographical references.
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| Main Author: | |
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| Other Authors: | |
| Format: | Thesis |
| Language: | English |
| Published: |
Department of Finance and Tax
2014
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| _version_ | 1867613150566678528 |
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| access_status_str | Open Access |
| author | Wepener, Caryn Wendy |
| author2 | West, Darron |
| author_browse | Wepener, Caryn Wendy West, Darron |
| author_facet | West, Darron Wepener, Caryn Wendy |
| author_sort | Wepener, Caryn Wendy |
| collection | Thesis |
| description | Includes bibliographical references. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/8565 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:31:34.243Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2014 |
| publishDateRange | 2014 |
| publishDateSort | 2014 |
| publisher | Department of Finance and Tax |
| publisherStr | Department of Finance and Tax |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/8565 Optimal asset allocation for retirement funds: a South African perspective Wepener, Caryn Wendy West, Darron Includes bibliographical references. This paper aims to determine the optimal asset allocation for South African retirement funds under the constraints of Regulation 28. Regulation 28 allows retirement funds to invest a maximum of 25 into offshore assets. Within this offshore allocation, retirement funds are able to invest in a range of international assets, including developed market and emerging market equities. This study, based on data from 1995 to 2013, uses mean variance optimisation as well as optimisation using the Omega ratio to determine the optimal portfolio. The Omega Ratio has an added advantage over the mean variance optimisation as it is able to include information on higher moments of a distribution rather than just the first two moments, being mean and variance. Both models find that it is beneficial for South African investors to invest in international assets as the optimal portfolio determined by both models allocates the full 25 to offshore assets. Neither model finds evidence to include emerging market equities in the portfolios of South African investors, rather favouring developed market equities. This paper also finds that the limits imposed by Regulation 28 lead to suboptimal portfolios as a slightly higher efficient frontier is achievable if the constraints are relaxed. 2014-10-17T10:12:56Z 2014-10-17T10:12:56Z 2014 Master Thesis Masters MCom http://hdl.handle.net/11427/8565 eng application/pdf Department of Finance and Tax Faculty of Commerce University of Cape Town |
| spellingShingle | Wepener, Caryn Wendy Optimal asset allocation for retirement funds: a South African perspective |
| thesis_degree_str | Master's |
| title | Optimal asset allocation for retirement funds: a South African perspective |
| title_full | Optimal asset allocation for retirement funds: a South African perspective |
| title_fullStr | Optimal asset allocation for retirement funds: a South African perspective |
| title_full_unstemmed | Optimal asset allocation for retirement funds: a South African perspective |
| title_short | Optimal asset allocation for retirement funds: a South African perspective |
| title_sort | optimal asset allocation for retirement funds a south african perspective |
| url | http://hdl.handle.net/11427/8565 |
| work_keys_str_mv | AT wepenercarynwendy optimalassetallocationforretirementfundsasouthafricanperspective |