We study how investors form their risk attitudes toward Bitcoin, a novel asset with limited historical information. Within a portfolio-choice framework, we show that risk aversion toward Bitcoin evolves endogenously as investors update their perceptions of its return distribution and adjust their portfolio allocations. Using Bitcoin option prices, we recover a time series of absolute risk aversion specific to Bitcoin and document that its fluctuations are strongly linked to investors’ perceived average returns and volatility, both shaped by past realizations. A key feature of belief formation is recency bias: investors place disproportionate weight on recent returns when forming expectations. This bias is markedly stronger in the Bitcoin market than in the equity market, reflecting its novelty and perceived structural uncertainty. Our findings highlight how heuristics and short-memory learning influence portfolio allocation, risk attitudes, and asset pricing in emerging financial markets.