This is one question I am very neutral on. If you don't have the skills or time to do a good job on self-hosted AND to keep it current, then for sure go the Efty or a marketplace such as Undeveloped that have good landers.
I think the main advantage, beyond those already listed, of self-hosting is that you can easily transform a parking/landing page into a several page mini-site that may attract traffic (and possibly revenue) that will eventually result in a lead to a sale.
Also, by self-hosting, you can do the arrangement in a way suited to your portfolio. Efty have lots and lots of lander choices, and an excellent set of categories, but it may not perfectly match your portfolio no matter how much you tweak it.
Also if you handle only a handful of extensions, the broad list on services like Undeveloped are not optimum for your potential clients.
If you self-host you can also put in links that suit your name. For example if you want to link to information for potential end users to articles that guide them through the steps in a domain transfer and answers FAQs.
I think both options can, and do, work excellently for domain investors. One advantage of a service like Efty is that I think it gives potential end users more of a sense of comfort than I site hosted by someone that they know nothing about.
Bob