$ From the "operate circumstance" 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 at first that $V$ is self-financing? In that case there isn't a Expense to finance it https://www.youtube.com/watch?v=qMmsQ4kKgY4