  We investigate an optimal investment problem with a general performance
criterion which, in particular, includes discontinuous functions. Prices are
modeled as diffusions and the market is incomplete. We find an explicit
solution for the case of limited diversification of the portfolio, i.e. for the
portfolio compression problem. By this we mean that an admissible strategies
may include no more than m different stocks concurrently, where m may be less
than the total number n of available stocks.
