I can only invest in individual stocks (no ETFs or Mutual Funds) what to do?

I'm a US citizen and European tax resident. This particular combination makes it economically impractical to invest in any type of fund due to extremely adverse tax consequences.

Realistically, I can only invest in individual equities. Are there any other options other than buying say, 30-50, individual stocks and replicating an index or buying huge conglomerates like Berkshire, (which follow the index fairly closely)?

I am also unsure how to incorporate bonds under this scenario.