Is it safer to keep crypto on exchange or wallet?

As a novice in the field of cryptocurrency, I'm often faced with the dilemma of choosing where to keep my crypto assets. Some recommend storing them on exchanges, citing convenience and ease of trading. Others argue that wallets provide a safer option, as they offer more control over private keys and reduce the risk of hacks. I'm torn between these two options. While I appreciate the convenience of having my crypto assets on an exchange, I'm also concerned about the security implications. On the other hand, wallets provide a higher level of security, but they also come with their own set of challenges, such as managing private keys and ensuring backups are secure. Could you please provide some insights into this matter? What are the pros and cons of storing crypto on exchanges versus wallets? And, ultimately, which option would you recommend for someone like me who is looking to prioritize both convenience and security?