Further, it is shown that the value of the utility maximization problem converges to the robust superhedging price as the risk aversion parameter gets large, and examples of nondominated probabilistic ...

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.