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$ In the "get the job done scenario" you liquidate the portfolio at $t_1$ realising its PnL (let me simplify the notation a tiny bit)WillWill 13344 bronze badges $endgroup$ 4 $begingroup$ Did you not say initially that $V$ is self-funding? In that situation there is no Value to finance it as well as the PnL is always just $V_T-V_t$ among any two ti