Non-diversified portfolios with subjective expected utility

Diversification is the typical investment strategy of risk-averse agents. However, non-diversified positions that allocate all resources to a single asset, state of the world or revenue stream are common too. We show that whenever finitely many non-diversified demands under uncertainty are compatible with risk-averse subjective expected utility maximization under strictly positive beliefs, they are also rationalizable under the same beliefs by many qualitatively distinct risk-averse as well as risk-neutral and risk-seeking preferences. • Non-diversified demand can be compatible with risk-averse SEU under some beliefs. • When this is so, it is compatible with many risk preferences under the same beliefs. • Examples include CARA (but not CRRA), DARA, risk-neutral and risk-loving preferences.