I construct a Roy model of entrepreneurial choice in which entrepreneurial income depends on wealth. I provide intuition for the non-parametric identi- fication of the joint distribution of wage sector ability and entrepreneurial productivity and of the returns to assets in the entrepreneurial sector. Under the required strong but plausible assumptions, the estimation recovers not only the marginal returns to small amounts of capital but also the full schedule of returns to larger increases in capital. I estimate the model with panel data on Mexican microenterprises and recover the distribution of returns to capital in the Mexican population of potential microentrepreneurs.