Abstract We analyse risk preferences using an experiment with small-stake gambles and real incentives in a representative sample of 1,422 Dutch respondents. Our econometric model incorporates four structural parameters that vary with observed and unobserved charac- teristics: Utility curvature, loss aversion, preferences towards the timing of uncertainty resolution, and the propensity to choose randomly rather than on the basis of preferences. We find that all four parameters contribute to explaining the choices of the individuals in our sample. It is essential to allow for heterogeneity in each of these parameters in order to match the rich variety of choice patterns found in the data. Socio-economic and demographic variables are significantly correlated with the structural parameters. How- ever, even a rich set of controls is not able to account for a significant fraction of overall heterogeneity in the structural parameters. JEL Classification: C90, D81