This comment restudies Black¡¯s (1990) [Black F., 1990. Mean reversion and consumption smoothing. Review of Financial Studies 3,107-114.] paper and shows that the conclusions in Black (1990) are not right.

The general optimal portfolio selection problem with fixed transaction costs is a complex mathematical programming problem. However, by placing reasonable restrictions on the variance-covariance matrix of returns, it is possible to simplify the solution of the problem. Specifically if the...

We generalize Markowitz analysis to the situations involving an uncertain exit time. Our approach preserves the form of the original problem in that an investor minimizes portfolio variance for a given level of the expected return. However, inputs are now given by the generalized expressions for...