• We propose a portfolio choice model of interest rate term structure with a preference parameter for alternative horizons. • The riskless asset is the one whose duration coincides with the investor’s horizon; any other duration implies a risk exposure. • The investor compares at the 3 and 6-month horizons the market risk premia to those they require to take risky positions. • US 3 and 6-month T-Bill rates stand for short and long rates while the expected short rate is provided by survey data. • The preference parameter significantly varies over time and the market favors the short horizon by two-thirds on average. We propose a two-horizon interest rate term structure model where the maturity of the riskless rate is the one of the debt security whose duration equals investor's desired horizon. Our framework thus relaxes the usual assumptions of the literature that the riskless rate is unchangingly the short period rate. A representative investor compares at each of the 3- and the 6-month horizons the risk premium offered by the market and the one they require to take a risky position, the latter premium being determined by the portfolio choice theory. Due to market frictions, the deviation between the offered and required risk premium evolves according to a mean-reverting process. Using 3-month ahead survey-based expectations of the US 3-month Treasury Bill rate, we employ Kalman filtering to estimate the market risk premium where the preference parameter of investors for alternative horizons is time-varying. We find that the market comprises both a group of agents with 3-month preferred horizon and a group of agents with 6-month preferred horizon with a weigh of two-thirds for the first group.