NOT KNOWN DETAILS ABOUT PNL

$ Now you say $V_t$ will be the risky asset. Incredibly complicated. Edit the put up to make this crystal distinct. We can think about what on earth is a PnL the moment we really know what We've got invested in. $endgroup$$begingroup$ The pnl calculation is completed in two actions. By definition, you price your portfolio as of nowadays, you price

You may as well analyse the skewness and kurtosis from the period PnL by having 3rd and 4th times of $Y_t$ respectively. Presumably you will conclude that for 2 sequence with equivalent expectation and variance, you are going to prefer the one particular with constructive skew or decrease kurtosis, but possibly not with regards to the confidence of