Why is it an unwritten rule in Hollywood that one should not finance a project (motion picture or play) with?

Question

your own money. Why?

Answer 1

Because the returns are not guaranteed and the odds are too great against any return on your investment. That is why studios were created. To mitigate the risk.

Answer 2

I would say risk as well. It's better to have multiple investor to spread out the risk. So many things can go wrong and there is no garauntee your movie/play will ever make it to a theater. The studios control which movies they want to show in theaters and the odds are very much against and indie type film doing anything but going straight to video.