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Variance of the fourth power of a lognormal

Question

Suppose ln⁡X\ln X is standard normal. The variance of X4X^4 can be written as ea−ebe^a-e^b for positive integers a,ba,b. What is a+ba+b?

Short answer

4848. Write X=eZX=e^Z with ZZ standard normal and use the moment generating function E[etZ]=et2/2\mathbb{E}[e^{tZ}]=e^{t^2/2}. Then the second moment of X4X^4 is e64/2=e32e^{64/2}=e^{32} and its mean is e16/2=e8e^{16/2}=e^{8}, so the variance is e32−e16e^{32}-e^{16} and a+b=48a+b=48.

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