 Solution

ID: past-exam-of-the-probability-statistics-and-options-ii-course-of-the-university-of-oxford/2008/t/2/b/i/solution

The proposed vectors are nonnegative, and direct multiplication gives

A x = (1 1), A^{T} y = 1 5/4 1 .

Thus

A x \leq 1

and

A^{T} y \geq 1

, proving primal and dual feasibility.

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