Edit > Keyboard Shortcuts... (Alt+Shift+Ctrl+K)
From here you can name your own custom shortcuts set. Use the drop-down selection field to choose "Tools" or "Menu Commands" and find the shortcut or modify/add a shortcut.
It is a mingy subset, indeed.
In a roundabout way one can record a certain amount of Palette menu items as action commands and assign a shortcut to them. Still a kludge.
Take a look at InDesign's custom shortcuts – for example – to see how it should work.