An expansion wedge anchor for insertion in a hole delimited by a wall comprises an expander member and an expansion member, the expander member being provided at a leading end of the expander member, the expander member comprising a flaring end, the expansion member being expandable at a trailing end thereof and being adapted to engage the wall of the hole when the expander member is positioned in the hole, wherein upon longitudinal withdrawal of the expander member from the hole, the expander member displaces longitudinally relative to the expansion member with the flaring end thereof gradually causing the trailing end of the expansion member to expand, whereby a trailing edge of the expansion member engages the wall of the hole. The trailing end is adapted, when expanded by the flaring member, to extend at an angle with respect to a longitudinal axis of said expander member. In the method of setting the expansion wedge anchor in the hole, the following steps are found: (a) providing an expander member and an expansion member; and (b) displacing the expander member such as to cause a trailing end of the expander member to engage the wall of the hole.