Empirical studies about risk perceptions of entrepreneurs at different levels, from companies of different sizes, ownership structures, and other varying characteristics will contribute to a better understanding of risk and risk management (Hagigi and Sivakumar, 2009). The present dissertation gives consideration to these issues by analyzing small business entrepreneurs perception of risk, their perception of risk factors, and their companys risk management activity. Based on a survey questionnaire, the results indicate that entrepreneurs perceive risk in a positive manner and clearly distinguish between the concepts of risk. Cognitive frames lead them to rather perceive risk as opportunity than downside loss in early stages of their working life. Their perception changes, however, as they become more aware of risk as downside loss over time. Although most entrepreneurs seem to be aware of various risk factors facing their companies, there is a disregard for risk identification in small businesses. This holds for SMEs following either an active or a passive risk management approach. The respective approach depends on certain company characteristics and influences a companys strategic orientation. The present dissertation makes a sound empirical contribution to the entrepreneurial literature by getting off the theoretical veranda and has practical implications, i.e., a need for supporting small business entrepreneurs through training and study programs in order to increase their awareness for risks and risk management.