$ During the "perform circumstance" you liquidate the portfolio at $t_1$ realising its PnL (let me simplify the notation a bit) WillWill 13344 bronze badges $endgroup$ four $begingroup$ Did you not say at first that $V$ is self-financing? In that scenario there's no Expense to finance it and also the https://www.youtube.com/watch?v=qMmsQ4kKgY4