It's also possible to analyse the skewness and kurtosis from the period PnL by using 3rd and 4th moments of $Y_t$ respectively. Presumably you will conclude that for two sequence with identical expectation and variance, you'll like the one particular with optimistic skew or lower kurtosis, but perhaps not based https://edwinjosvz.rimmablog.com/33246831/a-review-of-pnl