Perpustakaan Digital ITB

This thesis investigates the strategic investment framework for PT ASABRI (Persero) in channeling pension fund assets toward financial instruments that support national food security infrastructure in Indonesia. Utilizing a mixedmethods research design integrating Markowitz Mean-Variance Portfolio Optimization, Monte Carlo stress testing, and bond valuation modeling with qualitative institutional analysis, the study examines four allocation scenarios— conservative (2%), moderate (5%), aggressive (10%), and optimal (7%)—for investment in a proposed National Food Irradiation Project valued at IDR 5 trillion over a 20-year tenor. The quantitative analysis, based on ASABRI’s December 2025 risk indicator report covering IDR46.65 trillion in managed assets across THT, JKK, JKm, and AIP programs, reveals that the optimal 7% allocation (IDR3,265 billion) dedicated to supporting food infrastructure development significantly enhances the expected portfolio performance, shifting the portfolio’s Sharpe ratio upward from a baseline of 0.250 to a proposed 0.289 while maintaining full regulatory compliance with PMK 118/2025 provisions. Stress testing across ten macroeconomic scenarios demonstrates portfolio resilience, with the food irradiation bond exhibiting low correlation (? = 0.25) to the existing portfolio, thereby improving diversification. The bond valuation model yields a fair value premium of 3.17% above par with an expected IRR of 15–20%, confirming commercial viability. The study contributes to the literature on institutional investment theory, liability- driven investing, and ESG integration in emerging market pension funds. Policy recommendations include a phased allocation strategy through project bonds (55%), project sukuk (25%), infrastructure mutual funds (15%), and direct equity (5%), supported by government guarantees under the National Strategic Project.