HELPING THE OTHERS REALIZE THE ADVANTAGES OF PNL

It's also possible to analyse the skewness and kurtosis of the period PnL by having 3rd and 4th moments of $Y_t$ respectively. Presumably you are going to conclude that for 2 collection with similar expectation and variance, you'll favor the one with optimistic skew or lower kurtosis, but probably not with regards to the confidence of the marketpla