Which is safer, exchange or wallet?

Which option is safer when it comes to storing cryptocurrencies - a cryptocurrency exchange or a digital wallet? Could you please elaborate on the security measures taken by both entities? On one hand, exchanges often boast robust security features like multi-factor authentication and secure storage methods. But on the other hand, wallets provide users with the ultimate control over their private keys, allowing for increased autonomy. However, this also means individuals are responsible for safeguarding their own keys from theft or loss. So, which approach offers better protection against hacks, fraud, and other potential threats? And are there any specific factors that investors should consider when making this decision?