 Solution

For each $x$, choose purifications $|u_x⟩$ of ${\rho }_x$ and $|v_x⟩$ of ${\sigma }_x$ in a common reference space. By Uhlmann's theorem, the second can be chosen, including its overall phase, so thatConstruct the two flagged purifications of a quantum ensembleTheir reduced states are the respective mixtures, and orthogonality of the flags gives $⟨U|V⟩={\sum }_x{p}_{x}F({\rho }_x,{\sigma }_x)$. A particular purification overlap cannot exceed the maximizing overlap in Uhlmann's theorem. HenceThis proves joint concavity of quantum fidelity. Choosing each overlap nonnegative prevents cancellation of different phases; the same probability weights in the two mixtures yield $p_x$ rather than distinct square-root weights.