$ During the "work situation" 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 to begin with that $V$ is self-funding? In that case there isn't any Expense to finance it and https://www.youtube.com/watch?v=qMmsQ4kKgY4