This study aims at retrieving the implicit risk preferences of the board of trustees of a pension fund with reference to several recommendations from commission Frijns. This study builds a stylized pension fund and employs an ALM model to conduct a pilot study in which the board of trustees evaluates various risk and return criteria for five different investment strategies. In addition, this study investigates the impact of different policy instruments — that can be used by the board of trustees — on the risk and return trade-off in terms of the surplus of the pension fund. The results indicate that given a predetermined pension contract the effect of the indexation instrument is found to be the most risk mitigatinginstrument in terms of the surplus at risk. The pilot study retrieves the implicit risk preferences of a current existing board of trustees. Their evaluation has led to an established investment strategy corresponding to their preferences consisting of60% equity, 40% fixed income, and an overlay which approximates the duration of the liabilities — achieved through obtaining interest rate swaps.