Recent research argues that the self-employed experience fewer negative emotions than the employed. It argues that being self-employed actually prepares you to cope better with the fear and anxiety that might be faced.
The Guardian Life Small Business Research Institute found six dimensions that characterise successful small business owners:
Full report (pdf)
The Holland Code classifies people and work environments into 6 types: Realistic; Investigative; Artistic; Social; Enterprising; Conventional. Entrepreneur is classified as ESA, where Enterprising would be the strongest influence, followed by Social and then Artistic:
More on Holland Codes (pdf) from the Missouri University Career Center
Taken from the UK Centre for Bioscience, which has an extensive list of entrepreneurial skills