EXAMINE THIS REPORT ON PNL

And this depends on the rebalancing frequency. But "expected P&L" refers to a median about all probable price paths. So There's not necessarily a contradiction right here. $endgroup$To help make The 2 procedures equivalent you'll want to think of investing/borrowing $PnL_1$ at amount $r$ to ensure it stays in the system till $t_2,.$ At that time yo