$ From the "perform case" you liquidate the portfolio at $t_1$ realising its PnL (let me simplify the notation a tiny bit) WillWill 13344 bronze badges $endgroup$ four $begingroup$ Did you not say at first that $V$ is self-funding? In that situation there's no cost to finance it as well https://pnl69111.blogacep.com/39344916/the-best-side-of-pnl