<Para ID="Par1">This paper studies the problem of maximizing expected utility from terminal wealth in a semi-static market composed of derivative securities, which we assume can be traded only at time zero, and of stocks, which can be traded continuously in time and are modelled as locally bounded...</para>

We establish the existence and characterization of a primal and a dual facelift - discontinuity of the value function at the terminal time - for utility maximization in incomplete semimartingale-driven financial markets. Unlike in the lower- and upper-hedging problems, and somewhat unexpectedly,...