Binomial Expectation of Convex Function

Suppose $x$ has a binomial distribution with chance $\alpha$ drawn $k$ times, and let $f(x)$ be a positive convex real valued function. I would like to evaluate

$$\frac{\partial}{\partial \alpha} \mathbb{E} [f(x)]$$

Ultimately, this is for the following purpose: Suppose $\alpha^*(y)$ is defined by the equation

$$\mathbb{E} [f(x) \mid \alpha] \equiv \alpha + y$$

I am interested in studying the implicit function $\alpha^*(y)$ so defined. Any tips to characterize it would be greatly appreciated.

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+1. I changed \;|\; to \mid. I think that is standard. –  Michael Hardy Oct 4 '13 at 21:19
So $\alpha^*(y)$ is the value of $\alpha$ for which the bias of $f(x)$ as an estimator of $\alpha$ is $y$. –  Michael Hardy Oct 4 '13 at 21:20

What does the notation $\mathbb{E}[ \cdot \mid \alpha]$ mean?
The notation $\mathbb E[f(x)\mid\alpha]$ is a way of writing the expected value in which its dependence on $\alpha$ is given a place in the notation, so that, for example, one can write expressions like $\mathbb E[f(x)\mid\alpha]/\mathbb E[f(x)\mid\alpha_0]$. Suppose that 20 pages after you first write about the random variable $x$ whose distribution depends on $\alpha$, it becomes appropriate to assign a probability distribution to $\alpha$. Then the notation refers to the conditional expected value while remaining consistent with the way it was used earlier. –  Michael Hardy Oct 4 '13 at 21:16