One of the very fundamental assumptions in all economic analysis is that man behaves rationally and this enables him to make prudent business models. However, when it comes to decision making, paradoxically, it has been observed that entrepreneurs are very heuristic and much biased in their entrepreneurial decisions. This paper explores the available literature to identify the general behavioural biases among individual entrepreneurs; it further examines the biases that creep into the entrepreneur's mind set during their capital investment decisions.