Asset allocation and Regulation 28

 

Show simple item record

dc.contributor.advisor Van Rensburg, Paul en_ZA
dc.contributor.author Mjebeza, Athenkosi en_ZA
dc.date.accessioned 2016-07-21T14:05:59Z
dc.date.available 2016-07-21T14:05:59Z
dc.date.issued 2016 en_ZA
dc.identifier.citation Mjebeza, A. 2016. Asset allocation and Regulation 28. University of Cape Town. en_ZA
dc.identifier.uri http://hdl.handle.net/11427/20586
dc.description.abstract This paper aims to determine the impact Regulation 28 has on optimal asset allocation. The revised Regulation 28 of the pensions fund act came into effect as of 1 July 2011 which imposed certain restrictions or constraints on pension funds under direct control of trustees. This study evaluates some of the constraints imposed on the Regulation 28 through the use of Markowitz (1952) efficient frontier framework and a non-parametric model. With offshore allocation increased to 25% and an additional 5% to African (ex SA) markets the study also explores the diversification prospects to international, emerging and African (exSA) markets. The findings suggest that international markets bring about increase benefits to South African markets; however, when the Regulation 28 constraint is imposed the benefits slightly diminishes. Further analysis show that emerging and African markets bring little to no benefits to optimal South African pension fund allocation. Locally, the study looked at the gold index and the findings suggest that the gold asset class increases the welfare of an investor and it's a safe haven asset class. en_ZA
dc.language.iso eng en_ZA
dc.subject.other Finance and Tax en_ZA
dc.title Asset allocation and Regulation 28 en_ZA
dc.type Thesis / Dissertation en_ZA
uct.type.publication Research en_ZA
uct.type.resource Thesis en_ZA
dc.publisher.institution University of Cape Town
dc.publisher.faculty Faculty of Commerce en_ZA
dc.publisher.department Department of Finance and Tax en_ZA
dc.type.qualificationlevel Masters en_ZA
dc.type.qualificationname MCom en_ZA
uct.type.filetype Text
uct.type.filetype Image


Files in this item

This item appears in the following Collection(s)

Show simple item record