For $C>0$ arbitrarily large, is it possible to construct a (Borel) probability distribution $\mu$ such that
- $\mu$ is supported on $[0,∞),$
- $\int_0^∞ \; d\mu(x) = 1,$
- $\int_0^∞ x \; d\mu(x) = 1,\qquad$ and
- $\int_0^∞ x^2 \; d\mu(x) = C\qquad$?
I suspect it is possible, but my intuition is telling me the opposite—since the worst weighting
Consider the distribution $\frac{C-1}C\delta_0+\frac1C\delta_C$.