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You may also analyse the skewness and kurtosis in the period PnL by using third and 4th times of $Y_t$ respectively. Presumably you are going to conclude that for 2 collection with equivalent expectation and variance, you'll desire the one with good skew or decrease kurtosis, but probably not dependant https://pnl20874.jiliblog.com/90853760/the-single-best-strategy-to-use-for-pnl

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