Investing in complex financial products like hybrid securities demands a level of financial sophistication that is considered well beyond the capacity of most consumers. Yet many retail investors in the Australian market invest in these securities. We conduct multistage incentivised experiments to observe portfolio choice of participants to provide evidence on the behavioural biases and risk perceptions that can influence their allocation to hybrid securities. Illusion of control, overconfidence, and framing bias in consumers are found to be positively related to investment in hybrids while ambiguity aversion bears a negative relationship. Surprisingly, while participants generally acknowledge the difficulty in understanding the complex features, it does not deter them from investing in these securities. We also find that volatility, a standard measure of risk in finance theory, has no relationship with the participants’ allocation to any security whereas trust on the issuer has a significant bearing on such decisions. Our findings have important implications for regulators in demanding more effective disclosure of product information from issuers and designing targeted consumer education initiatives to protect retail investors.