Laurence Carassus, Miklós Rásonyi, Maximization of Nonconcave Utility Functions in Discrete-Time Financial Market Models, Mathematics of Operations Research, Vol. 41, No. 1 (February 2016), pp.

The paper studies the problem of maximizing the expected utility of terminal wealth in the framework of a general incomplete semimartingale model of a financial market. We show that the necessary and ...