It is absolutely possible. My brother went through as a fighter/mage/thief, and it actually can be more fun if party interactions aren't your thing. You get to try lots of different ways of killing that you don't need with a party. Like I never use spells like stoneskin or spell trap on my mages in a party because they are never targeted by enemies, but a single player has to really use everything. It's a good idea to get rid of the exp cap though, because you reach 3 million (and even 8 million for TOB) really quickly.
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