This paper examines the relationship between risk aversion and wealth using household survey data from the Bank of Italy Survey of Household Income and Wealth (SHIW). The authors construct a direct measure of absolute risk aversion based on consumers' willingness to pay for a risky security. They find that risk aversion is a decreasing function of endowment, rejecting the constant absolute risk aversion (CARA) preference assumption. The elasticity of risk aversion to consumption is estimated to be around 0.7, below the unitary value predicted by constant relative risk aversion (CRRA) utility. The study also reveals that household attributes have limited predictive power for risk aversion, with significant unexplained heterogeneity. The authors show that the consumer's environment, particularly income uncertainty and liquidity constraints, affects risk aversion. Individuals facing more income uncertainty or liquidity constraints exhibit higher absolute risk aversion. The findings suggest that the curvature of risk tolerance and the nature of risk aversion can have important implications for economic behavior, such as portfolio choices and precautionary saving motives.This paper examines the relationship between risk aversion and wealth using household survey data from the Bank of Italy Survey of Household Income and Wealth (SHIW). The authors construct a direct measure of absolute risk aversion based on consumers' willingness to pay for a risky security. They find that risk aversion is a decreasing function of endowment, rejecting the constant absolute risk aversion (CARA) preference assumption. The elasticity of risk aversion to consumption is estimated to be around 0.7, below the unitary value predicted by constant relative risk aversion (CRRA) utility. The study also reveals that household attributes have limited predictive power for risk aversion, with significant unexplained heterogeneity. The authors show that the consumer's environment, particularly income uncertainty and liquidity constraints, affects risk aversion. Individuals facing more income uncertainty or liquidity constraints exhibit higher absolute risk aversion. The findings suggest that the curvature of risk tolerance and the nature of risk aversion can have important implications for economic behavior, such as portfolio choices and precautionary saving motives.