You can also analyse the skewness and kurtosis of the period of time PnL by getting third and 4th times of $Y_t$ respectively. Presumably you are going to conclude that for 2 sequence with equivalent expectation and variance, you will choose the just one with favourable skew or reduced kurtosis, https://archerbnfrb.targetblogs.com/34578412/not-known-details-about-pnl