PNL CAN BE FUN FOR ANYONE

pnl Can Be Fun For Anyone

You may as well analyse the skewness and kurtosis of the period PnL by taking 3rd and 4th moments of $Y_t$ respectively. Presumably you might conclude that for 2 sequence with identical expectation and variance, you can choose the just one with optimistic skew or reduce kurtosis, but possibly not based on the assurance of the marketplace watch, etc

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