Recent models assessing the market impacts of Common Agricultural Policy (CAP) reforms are mostly static, non-stochastic and do not account for risks. This paper is a first attempt to fill this gap. We develop a stochastic version of GTAP-AGR model in which we introduce productivity risk and farmers' attitude towards risks. In addition to the price expectation, the expectation on price volatility becomes a key factor for the farmers' decisions. We show that under the endogenous modeling of the CAP instruments, risk aversion leads to larger production and price effects. The impacts are even larger if wealth effect is considered.