It depends on you and your skills.
You can start up a company on your own, though depending on what country you are in you may need other people to be directors. You will have to get legal advice on that one.
Not many people are elite coders, first rate musicians, and creative graphic artists at the same time though.
You need to look at your skill set and decide what you NEED, would WANT, and COULD DO WITHOUT.
Write all the jobs you can think of on a piece of paper, then add them to these categories.
The very basic IMHO is a coder, graphic artist, tester. Music can be sub-contracted easily, but graphics can be a problem.
I once had to do an 86 hour shift to get a game complete because the GA I contracted was late delivering.
Things like marketing, finance, advertising, producers, localisation manager, blah, blah, blah, are all in the dim and distant future.