We estimate risk aversion from the actual nancial decisions of 2,168 investors in Lending Club (LC), a person-to-person lending platform. We develop a methodology that allows us to estimate risk aversion parameters from each portfolio choice. Since the same individual makes repeated investments, we are able to construct a panel of risk aversion parameters that we use to disentangle heterogeneity in attitudes towards risk from the shape of the utility function. In the cross section, we nd that wealthier investors are more risk averse. Using changes in house prices as a source of variation, we nd that investors become more risk averse after a negative wealth shock. These preferences consistently extrapolate to other investor decisions within LC.
JEL codes: E21, G11, D12, D14.