 Wealth-variable Legendre dual

For increasing strictly concave wealth value $v$, the dual $J(z)={\sup }_x[v(x)-xz]$ is convex. At an interior optimum $z=v^{\prime }(x)$, $J^{\prime }=-x$, $J^{\prime \prime }=-1/v^{\prime \prime }>0$, and $v=J-z{J}^{\prime }$. This sign convention is the negative of the concave Legendre dual. It can turn the optimized portfolio term of a Hamilton-Jacobi-Bellman equation into a linear second derivative.