Expectation is Linear

Theorem
Let $\struct {\Omega, \Sigma, \Pr}$ be a probability space.

Let $X$ and $Y$ be random variables on $\struct {\Omega, \Sigma, \Pr}$.

Let $\expect X$ denote the expectation of $X$.

Then:
 * $\forall \alpha, \beta \in \R: \expect {\alpha X + \beta Y} = \alpha \, \expect X + \beta \, \expect Y$