Generally, being self-employed is preferable to working for someone else, regardless of the benefits. If you are an entrepreneur, you can make as much profit as possible and the profits will still be yours, whereas if you work or trade to get paid, you are dependent on your employee and any profits made will not go for you; the only thing you get is your agreed salary.
Although both have significant risks, being on your own is preferable because the risk can be managed.