FASCINATION ABOUT PNL

Fascination About pnl

You can even analyse the skewness and kurtosis from the interval PnL by getting third and 4th moments of $Y_t$ respectively. Presumably you will conclude that for two series with similar expectation and variance, you might choose the one with constructive skew or lessen kurtosis, but maybe not depending on the assurance of the market look at, etcet

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