Political psychologists have been quick to use prospect theory in their work, realizing its potential for explaining decisions under risk. Applying prospect theory to political decision‐making is not without problems, though, and here we address two of these: (1) Does prospect theory actually apply to political decision‐makers, or are politicians unlike the rest of us? (2) Which dimension do politicians use as their reference point when there are multiple dimensions (e.g., votes and policy)? We address both problems in an experiment with a unique sample of Dutch members of parliament as participants. We use well‐known (incentivized) decision situations and newly developed hypothetical political decision‐making scenarios. Our results indicate that politicians’ deviate from expected utility theory in the direction predicted by prospect theory but that these deviations are somewhat smaller than those of other people. Votes appear to be a more important determinant of politicians’ reference point than is policy.