As this subject is huge and technical, only some theoretical remarks coming from simulation and optimization will be given.
Skewness measures the coefficient of assymetry of a distribution.
A risk-investor does not like negative skewness. Kurtosis measures the degree of fat tails of a distribution. In this theoretical approaches below, the kurtosis will be an excess kurtosis. A distribution is normal when its excess kurtosis is equal to 3. If the skewness is positive or nil, this is the case.