Why do the rich take more financial risk and earn higher returns? In this paper I argue that understanding the interdependence of optimal housing decisions, debt taking and portfolio allocation over the wealth distribution is key to explain this robust empirical pattern. Calibrating a rich life-cycle model to match saving and home ownership profiles over age in Swedish administrative data I find that the model predicts portfolio choice patterns over the wealth distribution which provide a good fit to data. A crucial driver is the wedge between borrowing and lending rates: the lower risk premium due to debt costs affects not only indebted households, but also those who lack a large buffer of liquid savings and thus are in the risk of becoming indebted in the future. This mechanism is magnified by life-cycle effects and the lower optimal leverage ratio of the rich. I decompose the effect of different channels and also analyze the response of the economy to shocks in partial equilibrium.