A large body of evidence documents that people weight probabilities nonlinearly. This paper shows that this behavior is not necessarily driven by decision makers’ probabilistic risk preferences, but may result from rational expected utility maximizers’ responses to environmental constraints. Limited market access and poor endowments may induce risk averse decision makers to take higher risks than their preferences suggest. I derive a simple model capturing this intuition and demonstrate that it accommodates a large number of phenomena in decision making under risk, some of which cannot be explained by extant models of choice under risk.