14 January 2014The paper reports on a within-subject experiment, with substantial monetary in- centives, designed to test wether or not people are risk-vulnerable. In the experiment, subjects face a simple portfolio choice problem in which they have to invest part of their wealth in a safe and a risky asset. We elicit risk vulnerability by observing each subjectís portfolio choice in two di§erent contexts that only di§er by the presence of a signiÖcant but actuarially neutral background risk. We Önd that most subjects, 78 : 3% , are risk-vulnerable. Precisely, 52 : 6% have invested less in the risky asset when exposed to background risk and 25 : 7% were indi§erent. Thus only 21 : 7% of the subjects have invested strictly more in the risky asset when exposed to background risk.