This paper constructs a household asset allocation model which includes the friction of financial market and background risk factors, and explores the relationship between income risk and investment behavior of household risk financial assets. It is found that the increase of income risk will significantly reduce the investment of household risk financial assets, and the increase of market friction and other background risks will aggravate the negative effect of investment of income risk on household risk financial assets. At the same time, this paper uses the China Household Financial Survey (CHFS) data to test the results of the theoretical model, and measures the household income risk by grouped income variance. The empirical results show that household income risk has a significant negative impact on risky financial assets investment; and the financial market friction factors such as credit and loan constraints, social interaction and financial literacy significantly enhance the negative effect of income risk. The negative effect on risk financial assets is more significant in families with higher risks in health, housing, industrial and commercial operation and liabilities.