In this paper, we perform a welfare comparison of different life-cycle investment strategies for the pension funds using Monte Carlo simulations in an heterogeneous agent framework for Turkey. We calibrate model parameters based on historical data and compare a set of strategies provided by the pension fund industry and suggested by the asset management literature. Our results reveal that heuristic suggested by Cocco (2004) exhibits a better performance compared to other options. We also show that life-cycle investment strategies outperform “fixed over the lifetime” strategies and risk-averse individuals might hedge their risks by investing in housing.