The situation in which pension funds have to operate has changed. Some developments in the market led to drops in the funding ratios of Dutch pension funds. Pension funds were too much exposed to financial shocks in the market, which is not desirable. Therefore, it is of upmost importance for pension funds to choose an investment strategy that meets their needs best. In this thesis, it is studied what the optimal investment strategy of a pension fund is. First, it isdetermined what the goal and the preferences of a Dutch pension fund and its stakeholders are.On the basis of these goal and preferences utility functions are specified. By maximizing these utility functions, three investment strategies turned out to be optimal, namely the constant mixinvestment strategy, the constant proportion portfolio insurance investment strategy and the option based portfolio insurance investment strategy. These strategies are tested by using anALM model. Results show that the option based portfolio insurance investment strategy that locks profits fits the preferences of Dutch pension funds best and is therefore considered to bethe optimal investment strategy for a pension fund in the new Dutch pension contract.