  In this paper we report further progress towards a complete theory of
state-independent expected utility maximization with semimartingale price
processes for arbitrary utility function. Without any technical assumptions we
establish a surprising Fenchel duality result on conjugate Orlicz spaces,
offering a new economic insight into the nature of primal optima and providing
fresh perspective on the classical papers of Kramkov and Schachermayer (1999,
2003). The analysis points to an intriguing interplay between no-arbitrage
conditions and standard convex optimization and motivates study of the
Fundamental Theorem of Asset Pricing (FTAP) for Orlicz tame strategies.
