This paper investigates the relationship between risk aversion and wealth using data from the Bank of Italy Survey of Household Income and Wealth (SHIW). It measures absolute risk aversion based on the maximum price a consumer is willing to pay for a risky security. The study finds that risk aversion decreases with wealth, rejecting constant absolute risk aversion (CARA) preferences. The elasticity of risk aversion to consumption is estimated at around 0.7, below the unitary value predicted by constant relative risk aversion (CRRA) utility. The study also shows that household attributes are of little help in predicting risk aversion, which is characterized by massive unexplained heterogeneity. The consumer's environment affects risk aversion, with individuals facing income uncertainty or liquidity constraints exhibiting higher absolute risk aversion. The paper also examines the role of background risk and liquidity constraints in shaping risk attitudes. It finds that risk aversion is positively affected by background risk and the possibility of being credit constrained. However, these variables explain only a small amount of the sample variability in attitudes toward risk. The study uses a variety of specifications and controls for endogeneity and measurement error, finding robust results consistent with the relationship between wealth and risk aversion. The findings suggest that absolute risk tolerance is a concave function of wealth, and that background risk and liquidity constraints play a significant role in shaping risk attitudes. The paper concludes that the relationship between wealth and risk aversion is complex and influenced by a variety of factors, including individual characteristics and environmental conditions.This paper investigates the relationship between risk aversion and wealth using data from the Bank of Italy Survey of Household Income and Wealth (SHIW). It measures absolute risk aversion based on the maximum price a consumer is willing to pay for a risky security. The study finds that risk aversion decreases with wealth, rejecting constant absolute risk aversion (CARA) preferences. The elasticity of risk aversion to consumption is estimated at around 0.7, below the unitary value predicted by constant relative risk aversion (CRRA) utility. The study also shows that household attributes are of little help in predicting risk aversion, which is characterized by massive unexplained heterogeneity. The consumer's environment affects risk aversion, with individuals facing income uncertainty or liquidity constraints exhibiting higher absolute risk aversion. The paper also examines the role of background risk and liquidity constraints in shaping risk attitudes. It finds that risk aversion is positively affected by background risk and the possibility of being credit constrained. However, these variables explain only a small amount of the sample variability in attitudes toward risk. The study uses a variety of specifications and controls for endogeneity and measurement error, finding robust results consistent with the relationship between wealth and risk aversion. The findings suggest that absolute risk tolerance is a concave function of wealth, and that background risk and liquidity constraints play a significant role in shaping risk attitudes. The paper concludes that the relationship between wealth and risk aversion is complex and influenced by a variety of factors, including individual characteristics and environmental conditions.