How risky is setting up your own business?

Say i thought up a business that has to do with helping the environment (i.e. a more efficient type of solar power), or a bio technology company (i.e. a new drug that helps fight Alzheimer disease). How risky would setting up the business be? And how much do you think it would cost?

P.S. i know cost can vary a lot, but any estimate range would be great.

Also, if there is a website that gives statistics that would be great.

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