Triggered by large negative returns in the recent financial crisis, several stakeholders of pension funds questioned whether the strategic asset allocations from pension schemes are in line with the risk preferences of the plan members. It is not obvious how the risk attitude in the pension domain can be measured and transformed into strategic asset allocations. To investigate the risk attitude in the pension domain, we developed a questionnaire to compare four different methods that have been proposed in the literature. Our more than 1,600 respondents are divided over several pension schemes in different economic sectors in the Netherlands.