Sure, the average expected value of starting a startup could be lower. Or it could be higher. But I feel pretty sure in a startup you have more control over the outcome. You don't have to pay any dues or work your way up any ladder. So if the average expected value of starting a startup was equal to that of going to Wall St, but you were convinced you were a superstar, you'd be better off starting a startup, because there is less force pushing you toward the mean.