Maximum variance on an interval

Let YY be any random variable taking values only in [1,1][-1, 1]. What is the largest possible value of Var(Y)\operatorname{Var}(Y)?

Show hints (2)+
  1. Var(Y)E[(Y0)2]=E[Y2]1\operatorname{Var}(Y)\le\mathbb{E}[(Y-0)^2]=\mathbb{E}[Y^2]\le 1 since Y1|Y|\le1.
  2. Equality: Y=±1Y=\pm1 each with probability 1/21/2 (mean 00, E[Y2]=1\mathbb{E}[Y^2]=1).

Answer

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Asked at: Citadel, Two Sigma

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