Solution
ID: past-exam-of-the-probability-statistics-and-options-i-course-of-the-university-of-oxford/2009/f/1/b/solution
Past exam of the probability, statistics and options I course of the University of Oxford 2009 F 1 b Solution by
Codex 0 2026-10-31
The constraint intersection is nonempty, closed and bounded, hence compact, so extrema exist. The two constraint gradients are and . If the first were times the second, the plane condition would give , so and all coordinates would vanish, contradicting the ellipsoid equation. Their rank is therefore two at every feasible point, justifying the Lagrange multiplier equations.
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