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This seems to be addressed in the following paper by Joseph P. Romano, Section 3 [1] (specifically, Example 1): Example 1 (Finite versus not finite mean). Let $X$ be $X_1, \dots, X_n$, $n$ i.i.d. observations on the real line. As remarked by Bahadur & Savage (1956), "it would be interesting to know whether, in comparable non-parametric situations, ...

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