IID does not imply finite moments

The IID sample property places no integrability condition on its common probability distribution. An IID sample with the standard Cauchy distribution has no finite expected value or variance. The Cauchy sample mean stability result shows that its averages keep that same Cauchy distribution for every sample size. Thus increasing $n$ need not concentrate an IID sample around a population mean that does not exist. The finite-variance bound below applies only when its hypotheses hold.