Optimizing Investment Portfolio of a State-Owned Company Pension Fund

The Pension Fund of PT Pos Indonesia (Dapenpos) is considering cutting off all its stock from the portfolio and trying to find optimal increase funding ratio level. This research using Modern Portfolio Theory (MPT) by Markowitz solve current issue faced company optimizing company’s portfolio, universe, modified company. optimization complying OJK regulation as well investment direction with constant government bond proportion 30% unchanged both direct property assets. historical existing Dapenpos 2017 2021 has an expected return 8.83% standard deviation 3.45%, so it suggested that mutual fund should be emptied reallocated time deposit corporate bond. efficient frontier indicated could get a higher 9.31% choosing above frontier. LQ45 index range 6.90% Global Minimum Variance (GMV) 27.46% suggestion. GMV preferable modify retrurn’s 7.37% 9.28%. decision manager cut validated MPT tools strategic reallocation in gaining potential similar risk.