It would be rough going; the larger studios have a lot of power. However it has been done before. United Artists was started by Charlie Chaplain, Mary Pickford, D.W. Griffith, and Douglas Fairbanks in 1919. UA was eventually bought by WB for $350 million in 1981.

Were you to take the four most well paid artists currently, Dwayne Johnson, Tom Cruise, Tyler Perry, and Brad Pitt (combined net worth of nearly $2.7 billion), they could probably start a studio on their own.