[codedokode]

> In other words, at home you can use your own router; you can set the gateway as a computer that you control.

Yes.

> What if you had a portable gateway, one that could travel with you?

I can rent a VPS and connect through it using "Always-on VPN" option (I did it once and it worked). But then I have to pay for a server monthly in addition to the mobile plan. It is not that expensive but I would prefer just having access to iptables and being able to install my firewall on a phone.

I might be wrong but on Windows you can at least install a firewall. At least you could on earlier versions.

[joshumax]

> I can rent a VPS and connect through it using "Always-on VPN" option...

Still though, you have to worry that the hosting provider is taking adequate measures to protect your data, as well as also not secretly spying on you. I've worked with enough hosting sysops making trivial errors with their OVZ/KVM setups to realize that some VPS providers are about as secure and resilient as a power grid made from discarded toasters with forks shoved in them.

[whyagaindavid]

The OP instead of doingall these, could get another phone supported by AOSP or Cyanogemnod ROMs.