Under the conditional Value-at-risk (CVaR) criterion, a risk-averse retailer who jointly determines the investment of demand information forecasting and the product order quantity from a supplier is studied. The impacts of the risk-averse degree on the retailer’s optimal investment in information forecasting and optimal order policy are analyzed. The results show that under the decentralized decision situation, the investment in information forecasting is increasing in the retailer’s risk-averse degree in order to reduce the demand uncertainty risk, whereas the order quantity is decreasing in risk-averse degree to reduce the risk of over-quantity order. It is found that a revenue sharing contract can achieve the coordination of the risk-averse supply chain under certain business conditions. Furthermore, a revenue sharing and cost sharing contract is designed, compared with the traditional revenue sharing contract, the new combined contract can achieve the coordination of the risk-averse supply chain in a wider range and eliminate the risk-averse and double marginal effects, so that the retailer chooses the same investment in information forecasting and order quantity as in a risk-neutral centralized system.