Let $d\in\mathbb N$ and $f:\mathbb R^d\to\mathbb R$ be convex with $$\int e^{f(x)}\:{\rm d}x<\infty\tag1.$$ How can we show that $$\liminf_{x\to\infty}\frac{x\cdot\nabla f(x)}{x}>0?$$ $f$ should only be differentiable outside a countable set. Why this is not an issue?
How can we show that if $f$ is convex, then $\liminf_{x\to\infty}\frac{x\cdot\nabla f(x)}{x}>0$?
We first show that $\liminf_{x\to \infty} \frac{f(x)}{x} > 0$. Indeed, denote $ a = \max\{f(0)+1,1\}$, then the set $A =\{x: f(x) < a\}$ is a convex set and $$A = \int_A dx \leq \int_A e^{f(x) + a}dx \leq e^a \int_{\mathbb R^n} e^{f} dx < \infty.$$ The function $f$ is continue at $0$ and $f(0) < a$, then there exists $r >0$ such that $f(x) < a$ for all $x\in B_r(0)$ with center at $0$ and radius $r$. For any $x \in A$, $x\not=0$, the convex hull of $x$ and the ball $B_r(0)\cap x^{\perp}$, hence $$A \geq \frac {\omega_{n1}} n x r^{n1},$$ where $\omega_{n1}$ is the volume of $n1$ dimensional unit ball. Therefore $A$ is bounded. Let $R >0$ such that $A \subset B_R(0)$. Hence $B_R(0)^c \subset \{f(x) \geq a\}$. For any $x$ with $x > R$, we have $\frac R{x} x = \frac R{x} x + (1 \frac R{x}) 0$ and by using the convexity,we get $$a \leq f\left(\frac R{x} x\right) \leq \frac R{x} f(x) + \left(1\frac R{x} \right) f(0).$$ From this we have $$\liminf_{x\to \infty} \frac{f(x)}{x} \geq \frac{a}{R} >0.$$ Again by the convexity, we have $f(0) \geq f(x) + \langle \nabla f(x), 0x\rangle$ which implies $$\liminf_{x\to \infty} \frac{\langle \nabla f(x),x\rangle}{x} \geq \liminf_{x\to \infty} \frac{f(x) f(0)}{x} >0.$$

$\begingroup$ I'm not familiar with the concept of a subgradient. From Wikipedia, $\nabla f(x)$ is actually a set. So, how do we need to read $\liminf_{x\to \infty} \frac{\langle \nabla f(x),x\rangle}{x} >0$? Does it mean, for any choice $g(x)\in\nabla f(x)$, it holds $\liminf_{x\to \infty} \frac{\langle g(x),x\rangle}{x} >0$? And we clearly need that each $\nabla f(x)$ is nonempty. $\endgroup$ – 0xbadf00d Jan 27 '19 at 11:33

$\begingroup$ @0xbadf00d : Perhaps you meant this comment rather as a comment to my answer, since the above answer does not contain the term "subgradient". Anyhow, I have now added notes to my answer in response to your comment. Please let me know if anything is still not clear enough. $\endgroup$ – Iosif Pinelis Jan 27 '19 at 15:26

$\begingroup$ @IosifPinelis Yes, actually I've intended to comment your answer. However, what is $\nabla f(x)$ in nguyen0610's answer if it's not the "subgradient"? $\endgroup$ – 0xbadf00d Jan 27 '19 at 16:04

$\begingroup$ @0xbadf00d : "However, what is ∇f(x) in nguyen0610's answer if it's not the "subgradient"?"  I think this question should be addressed to nguyen0610. Is there anything in my answer that is still not quite clear to you? $\endgroup$ – Iosif Pinelis Jan 27 '19 at 16:09
$\newcommand{\R}{\mathbb{R}} \newcommand{\ep}{\varepsilon} $ For any $x\in\R^d$, let us understand $\nabla f(x)$ as any one of the subgradients of the convex function $f$ at point $x$ (so, we will not have to worry about differentiability of $f$).
To obtain a contradiction, suppose that the desired conclusion does not hold. Then for some sequence $(x_n)$ in $\R^d$ such that $t_n:=x_n\to\infty$ and for some $\ell\in[\infty,0]$ we have \begin{equation} u_n\cdot\nabla f(x_n)\to\ell \tag{1} \end{equation} where $u_n:=x_n/t_n$. By the compactness of the unit sphere $S^{d1}$ in $\R^d$, without loss of generality (wlog) $u_n\to u$ for some $u\in S^{d1}$.
For any $w\in\R^d$, consider the convex function $g_w\colon\R\to\R$ defined by the condition that $g_w(t)=f(tw)$ for all real $t$. Let $g'_w$ denote the left derivative of $g_w$. Then $g'_{u_n}(t_n)\le u_n\cdot\nabla f(x_n)$. So, in view of (1), wlog $g'_{u_n}(t_n)\to m$ for some $m\in[\infty,\ell]\subseteq[\infty,0]$.
So, for any $t\in[0,\infty)$ and any real $\ep>0$ there is some natural $n_{t,\ep}$ such that for all natural $n\ge n_{t,\ep}$ we have $t_n\ge t$ and $g'_{u_n}(t_n)\le\ep$, so that (by the convexity of $g_{u_n}$) $g'_{u_n}\le\ep$ on $[0,t_n]$ and hence on $[0,t]$, which yields $g_{u_n}(t)\le g_{u_n}(0)+\ep t$, that is, $f(tu_n)\le f(0)+\ep t$. Since $f$ is convex and realvalued, it is continuous. Therefore, $f(tu)\le f(0)+\ep t$, for all $t\in[0,\infty)$ and all real $\ep>0$. Thus, $f(tu)\le f(0)$ for all $t\in[0,\infty)$; that is, $f\le f(0)$ on $R_u:=\{tu\colon t\in[0,\infty)\}$.
Also, by the mentioned continuity of $f$, for some real $b$ we have $f\le b$ on $B:=\{x\in\R^d\colonx\le1\}$. So, $f\le \max[f(0),b]=b<\infty$ on the convex hull (say $C$) of $R_u\cup B$. The Lebesgue measure $C$ of $C$ is $\infty$. So, \begin{equation} \int e^{f}\ge\int_C e^{f}\geCe^{b}=\infty, \end{equation} which contradicts the first display in the OP. $\Box$
Notes added in response to a comment by the OP:
The OP commented: "I'm not familiar with the concept of a subgradient. From Wikipedia, $\nabla f(x)$ is actually a set." Response: $\nabla f(x)$ was the notation you used, incorrectly. To make sense of such usage, I suggested: "let us understand $\nabla f(x)$ as any one of the subgradients".
The OP commented: "And we clearly need that each $\nabla f(x)$ is nonempty." Response: It is a well known fact that, for any realvalued convex function $f$ on $\R^d$ and any $x\in\R^d$, the subdiferential of $f$ at $x$ (which is the set of all subgradients of $f$ at $x$) is nonempty. See e.g. Theorem 23.4 or Proposition 2. Also, any realvalued convex function $f$ on $\R^d$ is continuous (and even locally Lipschitz continuous)  see e.g. Theorem 10.1 or Theorem 3.3.1.

$\begingroup$ Thank you very much for your notes. If $r>0$ is small, is it possible that $\inf_{x\ge r}\frac{\langle\nabla f(x),x\rangle}{x}=\infty$? $\endgroup$ – 0xbadf00d Jan 27 '19 at 16:36

1$\begingroup$ @0xbadf00d : No, this is not possible, because (i) the $\liminf$ is $>0$, (ii) $\langle\nabla f(x),x\rangle\ge f(x)f(0)$, and (iii) $f$ is continuous and hence locally bounded. If you have no further questions about my answer, then, I think, any further questions should be asked in another post. $\endgroup$ – Iosif Pinelis Jan 27 '19 at 17:05