When you then create the portfolio yet again by borrowing $S_ t_1 $ at price $r$ you may realise a PnL at $t_2$ of WillWill 13344 bronze badges $endgroup$ 4 $begingroup$ Did you not say initially that $V$ is self-funding? In that scenario there's no cost to finance it as https://www.youtube.com/watch?v=qMmsQ4kKgY4