Solution

ID: past-exam-of-the-probability-statistics-and-options-ii-course-of-the-university-of-oxford/2010/f/f2/c/1/solution

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 give
All 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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