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Expected returns.... How can I calculate it?

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How can I get expectations and variances?....

Aug 15th, 2014

Compute the variance of the exponential density function .

The variance requires us to compute

Using integration by parts, with

we find

This second integral can be done with integration by parts again, or we can use the fact that this is almost the integral for the expectation. Namely, we know

and so by dividing through by , we have

Putting this together, we have

Finally, then, the variance is



Find the expectation of , where is uniformly distributed on the interval .

Recall that the PDF associated with is given by for . Thus, the mean is given by



Aug 15th, 2014

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