This paper studies the role of heterogeneous risk preferences in shaping entrepreneurial decisions and their implications for wealth inequality. We examine how individuals’ risk attitudes guide their choice between becoming a risk-bearing entrepreneur and a wage worker with a more stable income. To empirically ground our study, we use self-reported risk attitudes among the German workforce based on data from the German Socioeconomic Panel (GSOEP) and estimate their impact on the likelihood of workers transitioning into self-employment. Our findings highlight that risk tolerance is a key determinant in opting for entrepreneurship. We further build a life-cycle model of occupational choice that features heterogeneous risk preferences and explore how these choices influence savings/investment and wealth accumulation. Our preliminary results reveal that a model featuring heterogeneous risk preferences not only successfully captures the distribution of wealth in Germany, but also does so more accurately compared to models assuming uniform risk attitudes across individuals.