HELPING THE OTHERS REALIZE THE ADVANTAGES OF PNL

You can also analyse the skewness and kurtosis on the period PnL by taking third and 4th times of $Y_t$ respectively. Presumably you will conclude that for 2 collection with equivalent expectation and variance, you can favor the a single with favourable skew or lessen kurtosis, but possibly not according to the self confidence of the market see, an