Health risk is increasingly viewed as an important form of background risk that affects householdportfolio decisions. However, its role might be mediated by the presence of a protective full-coverage national health service that could reduce households' probability of incurring current and future out-of-pocket medical expenditures. We use SHARE data to study the influence of current healthstatus and future health risk on the decision to hold risky assets, across ten European countries with different healthsystems, each offering a different degree of protection against out-of-pocket medical expenditures. We find robust empirical evidence that perceived healthstatus matters more than objective healthstatus and, consistent with the theory of background risk, health risk affects portfoliochoices only in countries with less protective healthcaresystems. Furthermore, portfolio decisions consistent with background risk models are observed only with respect to middle-aged and highly-educated investors.