We study how investors form risk attitudes toward novel assets, such as Bitcoin, when historical information is limited. Our portfolio-choice framework shows that risk aversion evolves endogenously as investors update perceived expected returns and adjust portfolios accordingly. Using Bitcoin option prices, we recover the time series of Bitcoin-specific risk aversion and show that its fluctuations are strongly linked to perceived expected returns 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 equities, reflecting its novelty and structural uncertainty.

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