Ratio of partial sums

Let X1,X2,,X40X_1, X_2, \dots, X_{40} be i.i.d. positive random variables with E[X1]=2\mathbb{E}[X_1] = 2 and E[1/X1]=1\mathbb{E}[1/X_1] = 1, and let Sn=X1++XnS_n = X_1 + \dots + X_n. Compute E ⁣[S20S40]\mathbb{E}\!\left[\dfrac{S_{20}}{S_{40}}\right].

Show hints (2)+
  1. By exchangeability every E[Xi/S40]\mathbb{E}[X_i/S_{40}] is equal, and they sum to 11.
  2. So each is 1/401/40; S20S_{20} is 2020 of them. (The given moments are irrelevant.)

Answer

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0.5

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Asked at: Jane Street, Two Sigma

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