For a closed-loop supply chain where the manufacture is capital constrained, this study focuses on the pricing and recycling decisions of a closed-loop supply chain considering risk attitudes of the manufacturer, the retailer and the recycler. Firstly, the utility functions of supply chain members and the closed-loop supply chain are constructed according to mean-variance. Then, based on the game theory, the optimal strategy and utility of the closed-loop supply chain under the centralized system and the optimal strategies and utilities of supply chain members under the decentralized system are determined respectively. Finally, the impacts of parameters on the optimal strategies and utilities are analyzed. The results show that, the risk attitudes of supply chain members and the closed-loop supply chain can affect the optimal wholesale price, retail price and return rate to some extent, and then affect the utilities of supply chain members and the closed-loop supply chain. The loan interest rate can affect the utilities of supply chain members and the closed-loop supply chain, and it has the most significant effect on the utility of the capital constrained manufacturer.