You may as well analyse the skewness and kurtosis from the time period PnL by having 3rd and 4th moments of $Y_t$ respectively. Presumably you'll conclude that for two collection with equivalent expectation and variance, you'll desire the a single with good skew or decrease kurtosis, but probably not depending https://angelozgkot.dgbloggers.com/34554655/not-known-details-about-pnl