[R-SIG-Finance] Returns used to compute the alpha and the beta

[Benoit Schmid]

> Just one remark: the arithmetic mean of log returns is only
> approximately equal to the geometric mean of net returns (see example
> below). I point this out because I have read this claim frequently and
> was puzzled when I didn't get exactly the same results.

Thanks for the small R code.

I agree with you because the expected value of the exponential
is not equal to the exponential of the expected value.
But the approximation works quite well (E(exp(x)) ~ exp(E(x)).