Assume an arbitrage-free market. Let's say that the current price of an asset is $100$, its forward price in 1 month is $110$
Is it possible that the true expected value of the asset is not $110$? Sheldon Natenburg in Option Volatility and Pricing says that
If we assume that the underlying market is arbitrage-free, the expected value for the underlying contract must be equal to the forward price.
Why would this be so?