Solution

ID: past-exam-of-the-probability-statistics-and-options-i-course-of-the-university-of-oxford/2009/t/1/c/solution

Suppose the unique optimum were for distinct feasible points and . Feasibility is preserved by convex combinations. Optimality gives and , while linearity gives their strictly weighted average equal to . Both inequalities must therefore be equalities. Then and are also optimal, contradicting uniqueness. Hence the unique optimum is an extreme point of the feasible set.

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