Solution

ID: past-exam-of-the-probability-statistics-and-options-ii-course-of-the-university-of-oxford/2009/t/t2/a/iii/solution

Take the dual vector . Its column constraints have values , exceeding or equaling ; its entries are positive. Thus it is dual feasible. The first two constraints are equalities while the last two have strictly positive slack, suggesting . Solve the two primal equalities to get , , both positive.
The resulting feasible objectives agree:
Weak duality proves optimality. Strict dual slack in columns three and four and positive dual entries force the two primal equalities, proving primal uniqueness; positive first two primal coordinates force the two independent dual equalities, proving dual uniqueness.

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