The new Dutch pension system requires pension administrators to determine an appropriate investment risk profile for different groups of participants, depending on their ability to bear investment risks (risk capacity) and on their risk preferences (risk tolerance) (Ministry of Social Affairs and Employment, 2020 ). An important question for pension administrators is how to organize the distribution of excess returns (in the new pension contract) or investment policy (Wet Verbeterde Premieregeling; WVP) for each group of participants. This research aims to determine an appropriate investment risk profile for different groups of participants (by gender, income position and sector) depending on their risk capacity and risk preferences.