We exploit the US Survey of Consumer Finances from 1998 to 2010 to study households’ portfolio risk. We compare alternative measures of ex-ante risk, based on a financial portfolio including deposits, bonds, and stocks, or a broader portfolio also including real estate, business wealth, and related debt. The measures provide different rankings of portfolio risk, but they all show a skewed distribution with many households bearing limited risk. Large wealth holdings lead to more aggressive risk positions. Moreover, risk falls at the beginning of the sample period and rises at the end, together with the business cycle.