AbstractThis article calls attention to a difficulty with insurers' investment policies that seems to have been overlooked so far. There is the distinct possibility that insurers cannot satisfy the demands of different stakeholders in terms of expected returns and volatility. While using the capital asset pricing model as the benchmark, this article distinguishes two groups of stakeholders that impose additional constraints. One is “income security” in the interest of current beneficiaries and older workers; the other is “predictability of contributions” in the interest of contributing younger workers and sponsoring employers. It defines the conditions for which the combination of these constraints results in a lack of feasibility of investment policy. Minimum deviation from the capital market line is proposed as the performance benchmark in these situations.