This thesis intends to answer the question if and how term-structure and human capital idea should be combined within a long-term investment portfolio strategy. With the help of a case study on an existing life-cycle investment product (Nuernberger Beteiligungs-Aktiengesellschaft), this paper shows why it might be beneficial to use an alternative ap-proach to the traditional Markowitz portfolio optimization for long holding periods. The re-sults show that, following the current product prospectus, the life-cycle portfolio tends to be preferable to the Markowitz portfolio alternative over the analyzed time frame. In addition, this paper states that the specific life-cycle product uses the theoretical foundation of term-structures in asset risks and returns. Extending the analysis by a human capital discussion based on statistical labor market data gives reason to assume that the product outcome might be improved by a hump shape equity position.

Netspar, Network for Studies on Pensions, Aging and Retirement, is een denktank en kennisnetwerk. Netspar is gericht op een goed geïnformeerd pensioendebat.

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