Whenever you then build the portfolio once 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 at first that $V$ is self-financing? In that case there isn't a Value to finance https://www.youtube.com/watch?v=qMmsQ4kKgY4