| This study has three main objectives, the first is the optimization of the investment portfolio by forming compositions that provide optimal return for DAPENBI using Markowitz's approach, the second is to know the difference between an optimal portfolio returns with portfolio models Markowitz’s DAPENBI 2009 through 2014, and the third was to determine the optimal investment portfolio projection DAPENBI the next five-year period from 2015 to 2019. In this study, used measurement variables expected return. The parameters used are the variance, standard deviation, covariance and correlation. Investment instruments that made the object of research is Stocks, Mutual Funds, Bonds, Government Securities, and deposits held by Bank Indonesia Pension Fund (DAPENBI) in 2009 through 2014. The establishment of alternative optimal portfolio composition can utilize NetBeans program. Subsequently determined the optimal portfolio composition of some alternatives composition by using a calculation reward to variability. This creates optimal portfolio acquired 539 alternative portfolio composition. By using the calculation reward to variability obtained by the composition of the optimal portfolio for DAPENBI consisting of shares (20%), mutual funds (2%), bonds (5%) and deposits (73%) and E (R) of 0.894% per month and level of risk amounted to 1.083% per month. |