Leader personality has a major impact on decisions made and policies chosen, yet the systematic study of political leadership using observational data is challenging. This is particularly true in closed informational settings of authoritarian regimes, where, incidentally, the effects of leader personalities are often more pronounced and less institutionally constrained. I show one way of addressing this challenge by focusing on political ambition, or self-selection into the political career, and exploring how selection rules affect an individual decision to run for office in a lab setting. I argue that certain properties of the selection process lead to self-selection based on risk attitudes. Using a series of laboratory experiments in Russia, I demonstrate that higher costs of candidacy and public accountability of the selected officials lead to an increased role of risk-seeking in the decision to pursue an office. These findings suggest, for example, that in hybrid regimes, pro-regime candidates would be more risk-averse than the opposition candidates. The study shows the directions for theory development and research within the scholarship on ambition and candidacy under imperfect democracies and non-democratic regimes.