Allocating capital to investment projects is one of a manager’s most critical responsibilities. However, such decisions are shaped by managers’ own beliefs and risk preferences, which can differ from those of diversified shareholders. To study how managers’ personal beliefs and preferences influence their corporate decisions, we develop a framework that combines subjective expected utility theory with asset pricing principles. We apply this framework to infer how individual managers perceive the trade-off between risk and return, given their incentive-compensation arrangements. We find that managers’ beliefs and risk preferences help explain a variety of risky corporate investment decisions. These findings underscore the importance of considering managers’ personal risk-return trade-offs for understanding corporate decisions.