  Although diversification is the typical strategy followed by risk-averse
investors, non-diversified positions that allocate all resources to a single
asset, state of the world or revenue stream are common too. Focusing on demand
under uncertainty, we first clarify how this kind of behavior is compatible
with risk-averse subjective expected utility maximization under beliefs that
assign a strictly positive probability to every state. We then show that
whenever finitely many non-diversified choices are rationalizable in this way
under some such beliefs and risk-averse preferences, they are simultaneously
rationalizable under the *same* beliefs by many qualitatively distinct
risk-averse as well as risk-seeking and risk-neutral preferences.
