If you then set up the portfolio all over again by borrowing $S_ t_1 $ at rate $r$ you could realise a PnL at $t_2$ of WillWill 13344 bronze badges $endgroup$ four $begingroup$ Did you not say originally that $V$ is self-funding? In that scenario there's no cost to finance https://www.youtube.com/watch?v=qMmsQ4kKgY4