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Doing it yourself will likely be cheaper, but then you also need to worry about recruiting affiliates, making payments and possibly hiring someone to manage the program (also known as an affiliate manager).
With CJ, they do a lot of it for you (cut checks to affiliates, put your program in front of a lot of affiliates), but with a price attached.
Both have their advantages to a program owner. As an affiliate, I prefer indie programs, but that may just be me LOL.
That's how I've started a good number of my private programs, some of which are now hugely successful on the networks.
Maybe dumb question... maybe i'm getting old :( but how do I know a 'known' high producing affiliate and convince them to help set it up without charging me my remaining arm & leg?