Exercise 7 (#5.11). Consider the problem of maximizing [I", Pi over n рi > 0, i3 1,..., п, Σ and Piu; = 0, Pi 1, |3D i=1 i=1 where u;'s are s-vectors. Show that the solution is 1 Pi n(1+A*u;)' i = 1, .., n, and A E R$ satisfying n Ui 0. 1+ ATu; i=1

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