$ From the "operate situation" you liquidate the portfolio at $t_1$ realising its PnL (let me simplify the notation a bit) WillWill 13344 bronze badges $endgroup$ 4 $begingroup$ Did you not say initially that $V$ is self-financing? In that case there isn't any cost to finance it and also the https://pnl66420.theobloggers.com/40345104/pnl-no-further-a-mystery