This paper presents an entrepreneurial optimal business plan in which optimal con- sumption and portfolio rules, and optimal exit strategy for an entrepreneur are jointly determined in the presence of undiversiable idiosyncratic risk. We nd that the en- trepreneur is more likely to exit from her risky business as investment opportunity worsens or as her risk aversion coecient increases or as the idiosyncratic risk increases. When the entrepreneur decumulates wealth, she can achieve a partial hedging eect of a risky portfolio against the business risk by optimally increasing her risky portfolio as the id- iosyncratic risk increases. Accordingly, stock market participation is of importance to the entrepreneur for the purpose of risk diversication and a smooth continuation of her risky business.