 Solution

A function $f:{\mathbb{R}}^n\to \mathbb{R}$ is a convex function whenfor every $x_0,x_1$ and $t\in [0,1]$.

Fix $b_0,b_1\in \mathbb{R}$, $t\in [0,1]$, and $\epsilon >0$. Since the value function is finite, choose $x_i$ withFor the convex combination $x_t=(1-t)x_0+t{x}_1$, convexity of $g$ givesso $x_t$ is feasible for the intermediate right-hand side. Convexity of $f$ then givesLetting $\epsilon \downarrow 0$ provesso $\varphi$ is convex.