Why do entrepreneurs pursue opportunities when others do not? Differences between entrepreneurs and the general population have been found in relation to various cognitive biases, and these biases have been found to affect risk perception, and the decision to pursue opportunities. A pilot study showed entrepreneurs focused more on potential value, while non-entrepreneurs focused on cost. This paper seeks to extend existing theory by proposing a mediated model whereby opportunity cost and opportunity value mediate the relationship between cognitive biases and risk perception on the one hand, and the decision to pursue an opportunity on the other hand.