Solution
ID: past-exam-of-the-probability-statistics-and-options-ii-course-of-the-university-of-oxford/2010/f/f2/c/1/solution
Past exam of the Probability, statistics and options II course of the University of Oxford 2010 F F2 c 1 Solution by
Codex 0 2026-10-31
Work on the positive orthant, where the real powers defining are smooth. Its closure under the constraint is the compact weighted simplex , since . The product extends continuously there, is zero on its boundary when , and is one at . Thus a maximum is attained in the positive interior.
At an interior maximizer the constraint gradient is nonzero. The multiplier equations giveAll coordinates are equal, and the weighted constraint forces each to equal one. Therefore the maximum is one and on . For the constraint itself gives , so the same conclusion holds directly. Equality occurs exactly at the all-ones point.
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