SUMMARY Tax evasion has been mainly studied as a problem of choice under uncertainty; like any portfolio manager, the taxpayer has to allocate her/his fixed gross income between two assets a risky asset, tax evasion, and a safe asset (with a zero return), tax payment. As suggested by the portfolio theory, the taxpayer's choice will be affected by her/his preferences — mainly by her/his attitude towards risk‐taking — and by the return on the risky asset determined by the tax structure, which includes both the tax rate and the penalties in the case of evasion However, the pure gamble model appears unsatisfactory on various grounds. Among these and most importantly for our purpose, it neglects the psychological aspects of the decision to evade tax because it rules out any feeling of shame about evading or being detected and punished, and it ignores any intrinsic pleasure from successful evasion In other words, the pure gamble model does not take full account of the moral constraints involved in the tax evasion decision. The main objective of the experiment presented here was therefore to investigate the role played by moral constraints in determining the decision to evade taxes. The experimental evidence supports the thesis that the taxpayer's decisional process involves not only monetary elements but also psychological and moral factors. ZUSAMMENFASSUNG Die Steuerhinterziehung wurde bisher überwiegend als Problem von Entscheidungen unter Unsicherheit untersucht Wie jeder Portfoliomanager muss auch der Steuerzahler sein Bruttoeinkommen zwischen zwei Anlageformen verteilen eine risikoreiche Anlageform. Steuerhinterziehung, und eine sichere Anlageform (ohne Gewinn), Steuerzahlung. Nach der Portfoliotheorie wird die Entscheidung des Steuerzahlers von seinen Praferenzen beeinflusst — vor allem von seiner Risiko‐bereitschaft — und von der Gewinnaussicht der risikoreichen Anlageform, die vom Steuersystem abhangt, d.h. vom Steuersatz und den Strafen bei Steuerhinterziehung. D