Solution

ID: past-exam-of-the-probability-statistics-and-options-i-course-of-the-university-of-oxford/2007/t/1/b/solution

With primal constraints , the dual variable is unrestricted in sign:
Membership of in the nonnegative orthant still yields , but the next step is now the equality , so no sign condition on is needed. Equivalently an equality constraint can be replaced by two opposite inequalities whose nonnegative multipliers combine into one free multiplier.

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