Unfortunately this is a particularly difficult type of workplace harassment. Supervisors who harass or take advantage of their power over employees often do so because they feel that they can get away with it, and because they know that an employee will be intimidated against making a complaint.
When employers are designing their harassment policies, they should always have a secondary reporting person available wherever possible in case the person responsible for receiving complaints is also the alleged harasser. This may be more difficult in smaller organizations, but a secondary reporting person makes sure that an employee feels protected coming forward with a particularly sensitive allegation.
Additionally, employees should know that employers cannot penalize you for coming forward with an allegation that you have made in good faith. An investigation may not agree with your version of events, but will not punish you if you genuinely believe that there was harassment.