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We consider a stochastic financial incomplete market where the priceprocesses are described by a vector-valued semimartingale that is possiblynonlocally bounded. We face the classical problem of utility maximization fromterminal wealth, with utility functions that are finite-valued over$(a,\infty)$, $a\in\lbrack-\infty,\infty)$, and satisfy weak regularityassumptions. We adopt a class of trading strategies that allows for stochasticintegrals that are not necessarily bounded from below. The embedding of theutility maximization problem in Orlicz spaces permits us to formulate theproblem in a unified way for both the cases $a\in\mathbb{R}$ and $a=-\infty$.By duality methods, we prove the existence of solutions to the primal and dualproblems and show that a singular component in the pricing functionals may alsooccur with utility functions finite on the entire real line.

A unified framework for utility maximization problems: An Orlicz space approach