Investing for Retirement with an Explicit Benchmark

Agnes Joseph, Anne Balter, Antoon Pelsser, Frank de Jong, Lennard Beijering, Pascal Janssen, Thijs Kamma

Research output: Book/ReportReport


A disadvantage of defined contribution schemes, like those in the new Dutch pension deal, is the considerable uncertainty about pension capital at retirement. This is caused by the investment strategies used, which maximise the return with a constant relative risk aversion. This study explored the impact of using a non-constant relative risk aversion, which allows investment strategies that explicitly try to achieve the benchmark pension capital at retirement. We found that this approach gives a high chance of obtaining the desired benchmark, thereby reducing participants’ uncertainty about their pension income.
Original languageEnglish
Place of PublicationTilburg
Publication statusPublished - 2020

Publication series

NameNetspar Design Paper


Dive into the research topics of 'Investing for Retirement with an Explicit Benchmark'. Together they form a unique fingerprint.

Cite this