Iginla2011

The thinking on higher financial wealth - higher allocation to risk-free asset is that higher financial wealth reduces the percentage of total wealth represented by human capital. So a higher allocation to the less risky asset is needed to make up the difference.

Another way to think of it is that as initial wealth rises, the allocation to the risky asset to offset human capital becomes smaller because human capital becomes a smaller part of total wealth. If the allocation to the risky asset becomes smaller, the allocation to the risk-free asset rises.

This is definitely the less intuitive of the factors, but makes sense in this way.