Would be great if this would be an option, especially with the GDPR coming. But for small to medium sized publishers there are no ads you could host your own.
This is simply not true. i spoke two years ago with the CEO of a small publisher company (~3 employees). This company was focused on mobility, from train to skateboard, with cars being obviously the main focus. Affiliated links for small stuff like electric monocycles and/or sponsored tests for cars was enough to pay himself, his author, IT guy and tester.
It also requires you to self-host an ad server (and most open source ad servers are terrible) and it requires the advertiser to completely trust your numbers since they'll have no way to verify how many impressions you served. That's tough right now even for people who sell ads directly.