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.

We consider a utility-maximization problem in a general semimartingale financial model, subject to constraints on the number of shares held in each risky asset. These constraints are modeled by ...