Solution

ID: past-exam-of-the-probability-statistics-and-options-ii-course-of-the-university-of-oxford/2007/t/2/c/i/solution

In the usual linear programming sensitivity within a fixed optimal basis, retain the optimal basis while allowing its values to adjust. If the second resource amount is , then
The dual prices remain , so optimality persists exactly while both basic variables are nonnegative:
The optimal profit on that range is . At the endpoints the basis is degenerate but remains optimal. If the wording is instead read as requiring the exact numerical production vector to remain unchanged and optimal, only does so; the standard allowable range concerns the basis and its adjusted solution.

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