  We consider a free boundary problem in an exterior domain
\begin{cases}\begin{array}{cc} Lu=g(u) & \text{in }\Omega\setminus K, \\ u=1 &
\text{on }\partial K,\\ |\nabla u|=0 &\text{on }\partial \Omega,
\end{array}\end{cases} where $K$ is a (given) convex and compact set in
$\mathbb{R}^n$ ($n\ge2$), $\Omega=\{u>0\}\supset K$ is an unknown set, and $L$
is either a fully nonlinear or the $p$-Laplace operator. Under suitable
assumptions on $K$ and $g$, we prove the existence of a nonnegative
quasi-concave solution to the above problem. We also consider the cases when
the set $K$ is contained in $\{x_n=0\}$, and obtain similar results.
