Sure, who doesn’t want plenty of investment income? But do investors know what it takes to generate the income of their dreams? Apparently, some don’t.

According to a Legg Mason study, there’s a disconnect between investor expectations for income and market realities.

Almost half (48%) of the 500 affluent U.S. investors surveyed said they generate less income than they’d like to from their portfolios. On average, investors who use income-generating products said they sought 8.5% returns but are getting 5.9% on average.

“Our survey is telling us that income-oriented investors in the U.S. are coming up well short of their goals—almost 3% short—and that number could be significant, especially for retired investors who need to live on the income their portfolios generate,” Matthew Schiffman, managing director and head of global marketing at Legg Mason Global Asset Management, said in a press statement.

Schiffman noted that income-oriented investors should consider strategies focused on outcomes and should set realistic rates of return based on long-term goals and needs.

He said investors need to fully grasp the basic trade-off between risk and returns: i.e., that generating higher income requires greater exposure to riskier equity and fixed-income assets.

Indeed, survey respondents ranked “having to accept risk to obtain good yields” as the leading challenge among 16 challenges evaluated.

“If they prefer a low-risk approach to investing, they may have to reduce their income goals and expectations,” Schiffman said.

Among other factors that make it hard to realize their income needs, respondents cited market volatility (59%) and higher taxes (56%), along with inflation (55%) and the low interest rate environment (52%).

Nonetheless, 51% of investors said they were willing to take on more risk to achieve greater investment income. The survey polled people with at least $200,000 of investable assets.