A Simple Key For pnl Unveiled
You can also analyse the skewness and kurtosis of your time period PnL by having 3rd and 4th moments of $Y_t$ respectively. Presumably you will conclude that for 2 series with equivalent expectation and variance, you might choose the 1 with positive skew or lessen kurtosis, but possibly not dependant upon the self esteem of the marketplace see, etc