Optimasi Portofolio Dana Pensiun Lembaga Keuangan Di Indonesia Dengan Menggunakan Metode RSM (Response Surface Methodology)

Nurahman, Aditya (2023) Optimasi Portofolio Dana Pensiun Lembaga Keuangan Di Indonesia Dengan Menggunakan Metode RSM (Response Surface Methodology). Masters thesis, Instutut Teknologi Sepuluh Nopember.

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Abstract

Investasi pada dana pensiun terdiri dari SBN, deposito, obligasi, saham, reksadana dan investasi lain-lain. Dana pensiun sendiri terdiri dari DPPK (Dana Pensiun Pemberi Kerja) dan DPLK (Dana Pensiun Lembaga Keuangan). Untuk DPPK mengelola PPMP (Program Pensiun Manfaat Pasti) dan PPIP (Program Pensiun Iuran Pasti), sedangkan DPLK hanya mengelola PPIP. Adapun secara pengelolaan DPPK menggunakan keputusan investasi yang ditentukan sendiri oleh DPPK tersebut, tetapi DPLK pemilihan investasi dilakukan oleh peserta. Tesis ini memfokuskan penempatan portofolio dan hasil investasi perusahaan DPLK yang ada di Indonesia dengan data tahun 2020 dan 2021; data times series tahun 2015 sampai dengan 2021; dan data 2022 pada SBN, deposito, obligasi, saham, reksadana dan investasi lain-lain. Dari penempatan portofolio dan hasil investasi diketahui kinerja DPLK dalam pengelolaan investasi yang merupakan cerminan dari pemilihan investasi peserta DPLK. Tesis ini menyajikan data umum penempatan portofolio dan hasil investasi dari 25 perusahaan DPLK pada tahun 2020 dan 2021, data times series tahun 2015 sampai dengan 2021 dan data 2022 dan data tingkat resiko dari masing-masing penempatan investasi tersebut, tetapi tidak meneliti penempatan investasi tiap-tiap DPLK. Penggunaan metode RSM (Response Surface Methodology) atau metode permukaan respon pada bidang ilmu statistik diharapkan dapat memberikan hasil penempatan portofolio maksimal dari masing-masing investasi yaitu SBN, deposito, obligasi, saham, reksadana dan investasi lain-lain.
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Investments at pension funds consist of SBN, time deposits, bonds, stocks, mutual funds, and other investments. The pension fund itself consists of the Employer Pension Fund (EPF) and the Financial Institutions Pension Fund (FIPF). EPF manages the Defined Benefit Pension Plan (DB) and the Defined Contribution Pension Program (DC), while FIPF only manages the Defined Contribution Pension Program (DC). As for the management of the EPF, the investment decisions are determined by the EPF themselves, but the FIPF's investment selection is made by the participants. This thesis focuses on portfolio placement and investment results of FIPF companies in Indonesia with data for 2020 and 2021; Times Series data from 2015 to 2021; and data for 2022 on SBN, deposits, bonds, stocks, mutual funds, and other investments. From portfolio placement and investment returns, it is known that FIPF performance in investment management is a reflection of the investment selection of FIPF participants. This thesis presents general data on portfolio placement and investment returns from 25 FIPF companies in 2020 and 2021, times series data from 2015 to 2021 and 2022 data and data on the level of risk of each investment placement, but does not examine the investment placement of each FIPF. The use of the RSM (Response Surface Methodology) method or the response surface method in the field of statistics is expected to provide maximum portfolio placement results from each investment, namely SBN, deposits, bonds, stocks, mutual funds and other investments.

Item Type:	Thesis (Masters)
Uncontrolled Keywords:	FIPF, investment, maximum portfolio placement, RSM, DPLK, investasi, penempatan portofolio maksimal
Subjects:	Q Science > QA Mathematics > QA279 Response surfaces (Statistics). Analysis of covariance.
Divisions:	Interdisciplinary School of Management and Technology (SIMT) > 61101-Master of Technology Management (MMT)
Depositing User:	Aditya Nurahman
Date Deposited:	10 Feb 2024 04:13
Last Modified:	10 Feb 2024 04:13
URI:	http://repository.its.ac.id/id/eprint/106667

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