THE DEFINITIVE GUIDE TO PNL

$ Now you say $V_t$ would be the dangerous asset. Incredibly confusing. Edit the submit to help make this crystal very clear. We could consider what's a PnL after we really know what Now we have invested in. $endgroup$Trader A has created some significant PnL, In the meantime Trader B comes out with absolutely nothing in the slightest degree and hi

It's also possible to analyse the skewness and kurtosis of the period of time PnL by using 3rd and 4th times of $Y_t$ respectively. Presumably you'll conclude that for 2 series with similar expectation and variance, you might like the a single with beneficial skew or reduce kurtosis, but probably not dependant upon the self confidence of the market