THE FACT ABOUT PNL THAT NO ONE IS SUGGESTING

Which depends on the rebalancing frequency. But "predicted P&L" refers to a mean in excess of all possible price tag paths. So There's not automatically a contradiction here. $endgroup$To create the two procedures comparable you must think of investing/borrowing $PnL_1$ at charge $r$ to make sure that it stays inside the process till $t_2,.$ At tha