We separately identify the role of risk preferences and frictions in portfolio choice. Individuals may choose not to participate in the stock market because of non-standard preferences (e.g. loss aversion) or frictions impacting their choices (e.g. participation costs). We overcome this identification problem by using variation in the default asset allocation of 401(k) plans and estimate that, absent frictions, 94% of investors would prefer holding stocks in their retirement account with an equity share of retirement wealth that declines over the life cycle, which differs markedly from their observed behavior. We use this variation to estimate a structural life cycle portfolio choice model and find the evidence consistent with a relative risk aversion of 2.75. This estimate is significantly lower than most estimates in the life cycle portfolio choice literature and highlights how choice frictions can hamper the identification of risk preferences.