Public enterprises chief director for African projects, Bongi Gasa, said the focus was on the activities of Eskom, Transnet and its subsidiaries, SA Airways and Denel, among others.
Gasa said: "We need to position ourselves, otherwise the Americans, Britain and the French will come in and do it.
"As Africans, we must take advantage of all these funds which will flow in."
Gasa quoted from a recent Commission for Africa report, which noted that "developed countries should provide an extra US10bn a year up to 2010, and, subject to review, a further increase to US20bn a year in the following five years".
"Clearly... there's a major role and opportunities for our SOEs."
Current thinking was increased investment in Africa would follow the development of the continent's infrastructure.
Gasa said one of his department's concerns, and one voiced last year by Public Enterprises Minister Alec Erwin, was "the risk profile of investment in Africa, and the adverse impact this could have on the ability of SOEs to raise capital".
He said investment banks and financial institutions, approached to lend billions of dollars for projects in "countries in Africa that have got a different risk profile to South Africa", would view this as very risky.
"It is very risky, for instance, to go and invest in a power station in Sudan, under the present circumstances.
"There would be a higher political risk (compared) to what you're used to in South Africa.
"What we (public enterprises) are trying to do is to make sure the risk factors associated with investing in Africa... do not have a negative bearing on the cost of capital here in investing in the projects.
"We're trying to come up with creative ideas as to how it is that we can still continue investing in these risky areas - in the Democratic Republic of Congo and other areas where war is still going on - without necessarily affecting the projects we are currently engaged in."
Gasa said the focus of the review was on "existing SOE activities in Africa, assessing areas of future SOE involvement, and developing proposals for the optimal long-term management of these SOE activities in order to maximise the developmental impact through sustainable operations across the continent".