Solution

ID: past-exam-of-the-probability-statistics-and-options-ii-course-of-the-university-of-oxford/2010/t/t2/a/i/solution

The dual is . Weak duality states that every primal feasible and dual feasible satisfy . Indeed,
using for the first inequality and for the second. Thus a feasible dual value is an upper bound on every primal objective value, and a feasible pair with equal values certifies both optima.

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