We have Hence, we immediately find the dual: Here, we have a single dual variable, since our

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We have

image text in transcribed

Hence, we immediately find the dual:

image text in transcribed

Here, we have a single dual variable, since our trivial LP has one constraint, and we should just maximize, subject to simple upper bounds. By taking the most restrictive bound, we find

image text in transcribed

corresponding to an objective value of 8 , which is the same as the primal value.

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An Introduction To Financial Markets A Quantitative Approach

ISBN: 9781118014776

1st Edition

Authors: Paolo Brandimarte

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Question Posted: Mar 29, 2024 12:00 AM

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We have Hence, we immediately find the dual: Here, we have a single dual variable, since our

Question:

C= -2 0 A = [111], b= 4 [4] .

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An Introduction To Financial Markets A Quantitative Approach

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