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American tennis legend Andrew Agassi went through that process publicly, right in the middle of his career.
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Finally, Agassi shaved his head in 1995, at the tender age of 25.
"When I did that, I never felt freer in my life," Agassi told Business Insider at an event promoting his new charity-focused partnership with Lavazza coffee company. "It was like a weight off my shoulders."
"I hated feeling like a fraud. When you're not honest with yourself - that [feeling] got very tiring for me."
As for any advice Agassi has for men going through the same thing, his is pretty simple.
"The most precious thing we have in life is time, so any time you spend worrying about something, get rid of it," he said. "Why spend a moment worried about something? Life is too short for that."
As for regrets, Agassi has at least one: his signature late '80s/early '90s mullet.
"The truth is that if I found a picture of myself like that, I'd probably burn it," he said.
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"In a sense it was good timing too, because it took a lot of people on the journey with me," he said, in reference to the sudden media attention shaving his head brought to him and the issue.
So take it from one of the most successful shaved athletes and men in the world: if you're balding, just shave it. Be true to yourself. After all, it's just one less thing to worry about.