Abstract: | It is shown that if X1, X2, …, Xn are symmetric random variables and max(X1, …, Xn)+ = max(0, X1, …, Xn), then Emax(X1,…,Xn)+]=max(X1,X1,+X2,+X1,+X3,…X1,+Xn)+], and in the case of independent identically distributed symmetric random variables, Emax(X1, X2)+] = E(X1)+] + (1/2)E(X1 + X2)+], so that for independent standard normal random variables, Emax(X1, X2)+] = (1/√2π)1 + (1/√2)]. |