We prove that variances of non-negative random variables have the following monotonicity property: For all 0<r<s≤10<r<s≤1, and all 0≤X∈L20≤X∈L2, we have Var(Xr)1/r≤Var(Xs)1/sVar(Xr)1/r≤Var(Xs)1/s. We also discuss the real valued case.
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