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The work is based on results of similar nature provided by \\textit{A. Constantine} [Ann. Math. Stat. 34, 1270-1285 (1963; Zbl 0123.368)], \\textit{D. J. de Waal} [ibid. 43, 344-347 (1972; Zbl 0264.62017)], \\textit{B. K. Shah} and \\textit{C. G. Khatri} [Ann. Stat. 2, 833- 836 (1974; Zbl 0285.62026)], and \\textit{R. J. Muirhead} [Aspects of multivariate statistical theory (New York, 1982)]. The examples that are provided include the multivariate t-distribution and the compound multivariate normal distribution. The fact that the expected values of the multivariate Cauchy distribution do not exist is an obvious consequence of the obtained 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