Utility conjugate ($\hat{U}(y)={\sup }_{x>0}(U(x)-xy)$)

For an increasing concave utility on positive wealth, its utility conjugate uses the indicated supremum and is a convex function of the positive price variable. If $F(x)=-U(x)$ on positive $x$, extended by infinity elsewhere, then $\hat{U}(y)=F^{\ast }(-y)$. Under the Inada conditions its optimizer is the inverse marginal utility, and its derivative is the negative of that optimizer. The sign convention is part of the definition.

For an increasing strictly concave differentiable utility satisfying Inada conditions, its utility conjugate has a unique optimizer $I(y)=(U^{\prime }{)}^{-1}(y)$ and derivative $-I(y)$. The dual is strictly decreasing and strictly convex. Twice differentiability of the dual additionally follows when $U^{\prime \prime }$ exists and is strictly negative everywhere. Strict concavity alone allows $U^{\prime \prime }$ to vanish and does not imply this additional assertion.