$ From the "operate case" you liquidate the portfolio at $t_1$ realising its PnL (allow me to simplify the notation a tiny bit)WillWill 13344 bronze badges $endgroup$ four $begingroup$ Did you not say initially that $V$ is self-funding? In that situation there's no Price to finance it and also the PnL is always just $V_T-V_t$ concerning any two tim