Haha. Well, you don't have to own a horse to compete in Modern Pentathlon. In fact, one of the most interesting aspects of the sport is you compete on an unfamiliar horse. You get 20 minutes to mount, warmup, and do up to five practice jumps. Then you have about 60 seconds to complete a course. At the international level, the course is usually 12 obstacles with bars set at one meter in height. This creates a lot of drama, especially at international events, such as the World Championships, World Cup events, and the Olympics.

However, your point is taken in that the cost of taking horse jumping lessons is quite expensive. I'm currently spending $600+ per month for coached lessons 2-3 times per week. I cancelled my gym membership to make up for some of it.