PNL - AN OVERVIEW

pnl - An Overview

You may as well analyse the skewness and kurtosis on the time period PnL by getting 3rd and 4th moments of $Y_t$ respectively. Presumably you will conclude that for two sequence with equivalent expectation and variance, you might want the just one with good skew or decreased kurtosis, but perhaps not based on the self esteem of the industry check o

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