It's also possible to analyse the skewness and kurtosis on the period PnL by having third and 4th moments of $Y_t$ respectively. Presumably you'll conclude that for 2 collection with similar expectation and variance, you may like the 1 with constructive skew or lower kurtosis, but perhaps not depending on https://caidenzhnsw.bloggazza.com/33119140/detailed-notes-on-pnl