I would like to compute analytically the following expected value: $E\left( \frac{X_i^2}{\sum_j \lambda_j^2 X_j^2}\right)$ where the $X_i \approx N(0,1)$ are iid. It seems an elementary integral, but it is eluding me. Any pointer to a non-trivial solution technique\, or the solution itself of course, is highly appreciated.