$ Inside the "do the job situation" you liquidate the portfolio at $t_1$ realising its PnL (allow me to simplify the notation somewhat) WillWill 13344 bronze badges $endgroup$ 4 $begingroup$ Did you not say in the beginning that $V$ is self-funding? In that situation there isn't any cost to finance https://pnl48023.blogdal.com/34539746/the-fact-about-pnl-that-no-one-is-suggesting