Research suggests that the risk and uncertainty associated with entrepreneurial activity deters entry and contributes to the high rates of new business failure. In this study we examine how the ability to reduce these risks by means of hybrid entrepreneurship—the process of starting a business while retaining a "day job" in an existing organization—influences entrepreneurial entry and survival. Integrating insights from real options theory with logic from the individual differences literature, findings from survival analysis suggest individuals who are risk-averse and have low core self-evaluation are more likely to enter hybrid entrepreneurship relative to full-time self-employment. In turn, we find that hybrid entrepreneurs who subsequently enter full-time self-employment (i.e., quit their day job) have much higher rates of survival relative to individuals who enter full-time self-employment directly from paid-employment. Adding support to our theory that the survival advantage is driven by a learning effect which takes place during hybrid entrepreneurship, we find the survival advantage to be stronger for individuals with entrepreneurial experience. The implications of these findings for theories of entrepreneurship and real options are discussed.