The are two projects that I know which attempted to solve that problem.

India's has DEPA (Data Empowerment And Protection Architecture) framework that addresses the data consent problem. (e.g bank will ask your consent before sharing the data). The advantage here is it providers legal framework as well.

The solid project from Tim Berners-Lee (who invented world wide web) is an attempt to solve that. https://solidproject.org/. This is pure consumer owned but there is no legal protection from the government.