In privacy self-management, people are expected to perform cost–benefit analysis on the use of their personal data, and only consent when their subjective benefits outweigh the costs. However, the ubiquitous collection of personal data and Big Data analytics present increasing challenges to successful privacy management. A number of services and research initiatives have proposed similar solutions to provide people with more control over their data by consolidating consent decisions under a single interface. We have named this the ‘consent intermediary’ approach.In this paper, we first identify the eight obstacles to privacy self-management which make cost–benefit analysis conceptually and practically challenging. We then analyse to which extent consent intermediaries can help overcome the obstacles. We argue that simply bringing consent decisions under one interface offers limited help, but that the potential of this approach lies in leveraging the intermediary position to provide aides for privacy management. We find that with suitable tools, some of the more practical obstacles indeed can become solvable, while others remain fundamentally insuperable within the individuated privacy self-management model. Attention should also be paid to how the consent intermediaries may take advantage of the power vested in the intermediary positions between users and other services.