Several studies suggest that sleep deprivation affects risky decision making. However, most of these are confounded by feedback given after each decision, indicating that decisions may be based on suboptimal feedback-learning rather than risk evaluation. Furthermore, few studies have investigated the effect of sleep loss on aspects of prospect theory, specifically the framing effect and probability distortion. In this within-subjects design, 25 people had (i) two nights of an 8 h sleep opportunity, and (ii) two nights of a 4 h sleep opportunity, in a counter-balanced order. Following the two nights, they performed a gambling task with no immediate feedback; for each round, they could either gamble for a full amount, or take a settlement framed as a gain or a loss for part of the amount. Sleep restriction did not significantly affect the tendency to gamble, the framing effect, or probability distortion, as compared to normal sleep. These results indicate that two nights of sleep restriction affects neither general gambling tendency, nor two of the main predictions of prospect theory. This resilience may be due to a less extreme sleep loss than in previous studies, but also indicates that learning components and risk biases should be separated when assessing the effect of sleep loss on risky behaviour.