Current demographic changes worldwide are putting increasing pressure on the budgets of countries that provide pensions to their citizens. More and more countries emphasize the need for innovative approaches to policies and programs that adapt society to new demographic conditions and create a sustainable foundation for the future. In today's complex economic environment, pension funds play a crucial role in ensuring financial security for individuals in their old age. Different countries around the world have established various forms of pension systems with different accompanying regulations that often impose restrictions on the fund's investments in specific asset classes. The goal of pension funds and regulations is to preserve and grow the wealth of pension plan participants. It is generally accepted that pension fund portfolios should gradually change their investment structure so that as the insured individual ages, assets are shifted to safer instruments. Government bonds and high-rated corporate bonds are most commonly chosen as safe instruments. However, the developed stock market has historically demonstrated the power to achieve returns that clearly outperform returns of other conventional asset classes in the long run. Stock market returns can significantly increase the wealth of pension plan participants when a larger amount of contributions is accumulated. Therefore, correctly identifying the moment until which equities must constitute a significant portion of the portfolio, without exposing the pension of the insured to excessive risk in the last years of saving, and without losing benefits of stock markets' high returns, will be a key determinant of the success of pension funds. It must be understood that the largest stock market represented by the S&P 500 index has recovered after every crisis and recession in history and has continued to reach record levels up to the time of writing this thesis. A comparative analysis of pension funds in the Republic of Croatia, Slovakia, and the Kingdom of Sweden was conducted. The results of the analysis show a very strong positive correlation between the share of equities in the portfolio and the portfolio returns, and vice versa with the share of bonds. Changes in the Croatian pension fund regulations from January 1st, 2024, are showing progress in providing more freedom to its pension funds.