Perpustakaan Digital ITB

Pension funds relying on they investment activity, which will result the return from their investment. Therefore, the right investment choice and decision are very important to pension fund, because it will caused a good returns or the worst things loss of investment. To ensure Dana Pensiun Len Industri have good solvability liability and actuarial liability, President Director of PT. Len Industri (Persero) as pension fund founder, set target of growing asset (in percentage) in every year and stated in Dana Pensiun Len Industri annual planning (RKADP). However, the achievement of Dana Pensiun Len Industri from 2010 – 2017, have fluctuated value, and there is a year that have negative net asset growth instead. Methodology that using in this final project is 2 (two) step portfolio optimization. The first step is to optimize index based on investment instrument that have different 6 combined scenario the optimization determine by weight using solver that resulted optimal risk and return. After determining purchased proportion of instrument index, the second step optimization is optimum investment portfolio based on the issuers of each selected investment instrument. The scenario are involved some of the constraint, which government bond allocation constraint and bank deposit interest constraint. Combining these of two constraint will result 6 scenario with minimum risk and maximize return condition for each scenario. At the end of calculation, there will be four portfolio structure, and will determine which one the optimum that representing in the lowest coefficient of variance value, and proposed it as business solution. However, the four-portfolio structure will gave Len Industri Pension Fund overview available scenario, that in the future may they choose which one is fit with their preference. Also, the calculation template will help Len Industri pension fund as additional tools as strengthen their judgement when choosing which one the investment instrument that might be purchased and which investment issuers of each instrument that resulted optimum risk and return.