(Bloomberg Opinion) — Retirement is expensive. If you're lucky, yours will last several decades and you'll earn little or no income. So if you want to have enough money when you retire, you basically have three options: Save more, take more risk with your investments, or work longer.

Many people find the first and third options undesirable or impossible. That leaves the second option. And despite what people like Marc Rowan might have you believe, there is no way to get a higher return without taking more risk.

Rowan, CEO of Apollo Global Management, wants to allow Americans to invest more of their retirement money in private assets – loans and equity that are not sold in public markets. The practice, as he points out, is allowed in Australia, which is so pleased with its success that it plans to double its private equity exposure in some accounts. The UK is also considering increasing its exposure for its pension savers. However, in the US, only accredited (read: wealthy) investors have direct access to such assets.

As Rowan sees it, people invest for their retirement for the long term. One reason private assets promise a higher return is that they are less liquid. If you give your money to a private equity fund, it invests in assets that aren't publicly traded, so you can't sell them if you need to. After a few years, the fund matures and you get your money with little return.

At least in theory, you're compensated for giving up liquidity with a higher return. If you don't need liquidity – like most retirement savers, Rowan argues – you can get that illiquidity premium too.

Rowan is right that public assets are not as safe as many people think (GameStop, anyone?), and private assets are not so risky. But that doesn't mean private assets are safe — especially for inexperienced people investing for retirement. A comparable public asset is less risky not only because it is more liquid, but also because it is more transparent. It is subject to more regulatory scrutiny and carries a market price, which conveys a a lot of information for present and future value and imposes more accountability on corporations.

It's possible to argue that publicly traded assets are riskier because the market price is constantly updated, making them prone to flows and bubbles (see GameStop, above). Yes, prices fall – sometimes justifiably, because the market overvalued an asset or a company, or because some news changes the asset's value. In private markets, these issues can be obscured for years. Eventually there will be a market account, but that will come much later.

Even the best private equity and credit managers tend to think in groups and overlook big risks. Private credit is presumed to be less risky, for example, because it is less subject to foreclosures and has less duration risk. But there is still credit risk because the interest rate is volatile and that means more default risk, especially in a rising rate environment. Even the smartest people can be blind to big risks – and a market price, on which lots of smart people are making different bets that are transparent to everyone, is the best insurance against groupthink.

Then there is the question of how private equity investments would perform if they expanded into the retail market. They have performed well in the past, but research suggests once public pensions started investing more in private assets, the funds did less well. Private markets seem to work best when they are smaller and fund managers can be more selective. Expanding their size and scope can also make markets riskier overall. Until now, Regulators are safe Private credit does not pose much systemic risk – despite its volatility – but if the market were to rise, so would systemic risks.

All that said, Rowan is on to something when he talks about spending in retirement, as opposed to saving for it. There is a dearth of good products and strategies to help retirees spend their wealth. In 2009 Apollo founded Athene, an insurance company that offers annuities. The US pension market, which is still weak and doesn't offer much in the way of inflation-linked products, is in desperate need of innovation and competition. Athene annuities pay a fixed amount and the underlying assets are invested in private markets.

Depending on how well regulated it is and the fees involved, this could be a good use of the private markets, in which many insurance companies already invest. An insurance company is more willing than the average investor to take on the risk and stand by if the assets default.

Illiquidity premium or not, when it comes to investing retirement assets in the private markets, the golden rule of finance still applies: There is no added reward without added risk.

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Allison Schrager at (email protected)