NOT KNOWN DETAILS ABOUT PNL

You may also analyse the skewness and kurtosis in the period PnL by using third and 4th moments of $Y_t$ respectively. Presumably you will conclude that for two collection with equivalent expectation and variance, you are going to like the 1 with constructive skew or lessen kurtosis, but perhaps not depending upon the self-confidence of the industr

$ Now you say $V_t$ may be the dangerous asset. Extremely baffling. Edit the submit to help make this crystal clear. We could think about precisely what is a PnL at the time we really know what We have now invested in. $endgroup$To help make The 2 procedures similar you must think about investing/borrowing $PnL_1$ at fee $r$ making sure that it sta