$ Inside the "do the job circumstance" you liquidate the portfolio at $t_1$ realising its PnL (allow me to simplify the notation a tad) On the other hand, the existence of important autocorrelation from the return approach would hint that we are able to trade applying futures/linear solutions over a https://louiselotx.bloggazzo.com/33158588/the-fact-about-pnl-that-no-one-is-suggesting