Case Study
Year: 2019 | Month: August | Volume: 6 | Issue: 8 | Pages: 256-265
Optimization of Investment Portfolio Performance (Case Study of PT Asuransi Jiwa Taspen)
Immanuel Vincent, Lukytawati Anggraeni, Trias Andati
School of Business, IPB University, Indonesia
Corresponding Author: Immanuel Vincent
ABSTRACT
This study aims to find the best combination for fund management, especially investment funds that exist in Taspen life insurance companies. The current portfolio company based on historical data has not produced the best return as expected. This study analyzes several alternatives to produce the best allocation assets where portfolios that use global minimum variance, efficiency frontier, and tangency in which the composition of tangency in the portfolio produces optimal returns with lower standard deviation. The portfolio assessed using the Sharpe ratio, where tangency has the highest Sharpe ratio. The portfolio that uses portfolio tangency is the best combination portfolio. AsuransiJiwa Taspen is a subsidiary of PT TASPEN (PERSERO) which was established February 26, 2014. The ownership of PT Asuransi Jiwa Taspen in the amount of 99.97% is held by PT TASPEN (PERSERO) as the holding company, and 0.03 shares owned by Taspen Cooperative. The products managed by Taspen Life Insurance are mostly to provide great benefits in terms of employee welfare programs, old age planning, group life insurance, credit life insurance, and pension programs. The result proposed changes in asset allocation that can be considered by management are the GMV portfolio and Tangency Portfolio. In moderate strategic, the management can choose GMV portfolio with a standard deviation of 0.54% and return of 8.89%. In aggressive strategic management can be used portfolio tangency portfolio with a standard deviation of1.27% and the return of 18.64%
Key words: Optimization, Global minimum variance, Efficient Frontier, Tangency Portfolio, Sharpe ratio.
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