Optimal asset allocation for retirement funds: a South African perspective

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dc.contributor.advisorWest, Darronen_ZA
dc.contributor.authorWepener, Caryn Wendyen_ZA
dc.date.accessioned2014-10-17T10:12:56Z
dc.date.available2014-10-17T10:12:56Z
dc.date.issued2014en_ZA
dc.descriptionIncludes bibliographical references.en_ZA
dc.description.abstractThis 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.en_ZA
dc.identifier.apacitationWepener, C. W. (2014). <i>Optimal asset allocation for retirement funds: a South African perspective</i>. (Thesis). University of Cape Town ,Faculty of Commerce ,Department of Finance and Tax. Retrieved from http://hdl.handle.net/11427/8565en_ZA
dc.identifier.chicagocitationWepener, Caryn Wendy. <i>"Optimal asset allocation for retirement funds: a South African perspective."</i> Thesis., University of Cape Town ,Faculty of Commerce ,Department of Finance and Tax, 2014. http://hdl.handle.net/11427/8565en_ZA
dc.identifier.citationWepener, C. 2014. Optimal asset allocation for retirement funds: a South African perspective. University of Cape Town.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Wepener, Caryn Wendy AB - 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. DA - 2014 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2014 T1 - Optimal asset allocation for retirement funds: a South African perspective TI - Optimal asset allocation for retirement funds: a South African perspective UR - http://hdl.handle.net/11427/8565 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/8565
dc.identifier.vancouvercitationWepener CW. Optimal asset allocation for retirement funds: a South African perspective. [Thesis]. University of Cape Town ,Faculty of Commerce ,Department of Finance and Tax, 2014 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/8565en_ZA
dc.language.isoengen_ZA
dc.publisher.departmentDepartment of Finance and Taxen_ZA
dc.publisher.facultyFaculty of Commerceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.titleOptimal asset allocation for retirement funds: a South African perspectiveen_ZA
dc.typeMaster Thesis
dc.type.qualificationlevelMasters
dc.type.qualificationnameMComen_ZA
uct.type.filetypeText
uct.type.filetypeImage
uct.type.publicationResearchen_ZA
uct.type.resourceThesisen_ZA
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