Beleggingsbeleid bij onzekerheid over risicobereidheid en budget

In the practical application of individual retirement investing in the Netherlands, an optimal investment strategy is chosen, based on a number of characteristics of a participant and, given a set of economic scenarios. A number of model assumptions are made and an optimal investment policy is designed for the participant. In practice, a lot of essential information is often missing. In this paper we want to look at uncertainty with regard to the specification of the utility function, the risk aversion and the participant's budget (how high are rights already accrued and rights to be built up). We are looking for a robust investment policy given these uncertainties. Our conclusions are as follows. If you are unsure about the specification of the utility function/risk aversion, it seems better to set the risk aversion somewhat higher, or to take less investment risk. We also advise pension providers to agree on a standard in the market regarding to the budget, so that not every pension provider optimizes part of it and the total is sub-optimal for the participant.