{"id":{"repo_id":"cape-town","oai_identifier":"oai:open.uct.ac.za:11427/8565"},"canonical_url":"https://search.dev.ndltd.org/etd/cape-town/oai:open.uct.ac.za:11427/8565","repository":{"repo_id":"cape-town","name":"University of Cape Town","base_url":"https://open.uct.ac.za/oai/request"},"display":{"title":"Optimal asset allocation for retirement funds: a South African perspective","abstract":"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.","abstract_html":"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.","abstract_has_math":false,"creators":["Wepener, Caryn Wendy"],"institution":"Department of Finance and Tax","degree_name":null,"degree_level":null,"degree_discipline":null,"degree_department":null,"school":null,"contributors":[],"advisors":["West, Darron"],"committee_chairs":[],"committee_members":[],"year":2014,"date_issued":"2014","date_published":"2014","updated_at":"2026-07-24T01:34:06Z","subjects":[],"languages":["eng"],"rights":[],"rights_urls":[],"identifier_entries":[]},"links":{"outbound_url":"http://hdl.handle.net/11427/8565","outbound_label":"Handle","outbound_source":"dc:identifier.uri"},"metadata_groups":[{"id":"people","label":"People","entries":[{"key":"dc:contributor.advisor","label":"Advisor","values":["West, Darron"]},{"key":"dc:creator","label":"Author","values":["Wepener, Caryn Wendy"]}]},{"id":"academic_context","label":"Academic Context","entries":[{"key":"dc:date.accessioned","label":"Dc Date Accessioned","values":["2014-10-17T10:12:56Z"]},{"key":"dc:date.available","label":"Dc Date Available","values":["2014-10-17T10:12:56Z"]},{"key":"dc:date.issued","label":"Date","values":["2014"]},{"key":"dc:publisher.department","label":"Dc Publisher Department","values":["Department of Finance and Tax"]},{"key":"dc:publisher.institution","label":"Dc Publisher Institution","values":["University of Cape Town"]},{"key":"dc:type","label":"Dc Type","values":["Master Thesis"]},{"key":"dc:type.qualificationlevel","label":"Dc Type Qualificationlevel","values":["Masters"]},{"key":"dc:type.qualificationname","label":"Dc Type Qualificationname","values":["MCom"]}]},{"id":"language_rights","label":"Language and Rights","entries":[{"key":"dc:language.iso","label":"Language (ISO)","values":["eng"]}]},{"id":"identifiers","label":"Identifiers","entries":[{"key":"dc:identifier.uri","label":"Identifier URI","values":["http://hdl.handle.net/11427/8565"]}]},{"id":"additional","label":"Additional Metadata","entries":[{"key":"dc:description","label":"Description","values":["Includes bibliographical references."]},{"key":"dc:description.abstract","label":"Abstract","values":["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."]},{"key":"dc:title","label":"Title","values":["Optimal asset allocation for retirement funds: a South African perspective"]}]}],"canonical_facts":{"dc:contributor.advisor":["West, Darron"],"dc:creator":["Wepener, Caryn Wendy"],"dc:date.accessioned":["2014-10-17T10:12:56Z"],"dc:date.available":["2014-10-17T10:12:56Z"],"dc:date.issued":["2014"],"dc:description":["Includes bibliographical references."],"dc:description.abstract":["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."],"dc:identifier.uri":["http://hdl.handle.net/11427/8565"],"dc:language.iso":["eng"],"dc:publisher.department":["Department of Finance and Tax"],"dc:publisher.institution":["University of Cape Town"],"dc:title":["Optimal asset allocation for retirement funds: a South African perspective"],"dc:type":["Master Thesis"],"dc:type.qualificationlevel":["Masters"],"dc:type.qualificationname":["MCom"]},"updated_at":"2026-07-24T01:34:06Z"}