Solution

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

Normalize each optimal vector by its sum . Player I's row strategy and Player II's column strategy are respectively
As a direct check and , so Player II guarantees a loss of at most four and Player I guarantees a gain of at least four.

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