{"state_type":"pith_open_graph_state","state_version":"1.0","pith_number":"pith:2015:ADJD2SS3USR7GNR43DBBISHHWV","merge_version":"pith-open-graph-merge-v1","event_count":2,"valid_event_count":2,"invalid_event_count":0,"equivocation_count":0,"current":{"canonical_record":{"metadata":{"abstract_canon_sha256":"5c5bdf2b4ce2fe8b3150e6d42bbd2fca81398d967916700b29d5f0bd050a95db","cross_cats_sorted":[],"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.CP","submitted_at":"2015-06-19T23:30:14Z","title_canon_sha256":"68f52e57fe9756500a6796eb789f00a3e15306a42dff41bb08c32d265c517daa"},"schema_version":"1.0","source":{"id":"1506.06180","kind":"arxiv","version":1}},"source_aliases":[{"alias_kind":"arxiv","alias_value":"1506.06180","created_at":"2026-05-18T01:41:58Z"},{"alias_kind":"arxiv_version","alias_value":"1506.06180v1","created_at":"2026-05-18T01:41:58Z"},{"alias_kind":"doi","alias_value":"10.48550/arxiv.1506.06180","created_at":"2026-05-18T01:41:58Z"},{"alias_kind":"pith_short_12","alias_value":"ADJD2SS3USR7","created_at":"2026-05-18T12:29:10Z"},{"alias_kind":"pith_short_16","alias_value":"ADJD2SS3USR7GNR4","created_at":"2026-05-18T12:29:10Z"},{"alias_kind":"pith_short_8","alias_value":"ADJD2SS3","created_at":"2026-05-18T12:29:10Z"}],"graph_snapshots":[{"event_id":"sha256:6f931483e502cc6add9df988cd4d028f7084c9d9fead1b69b4b2d4287eaa63a7","target":"graph","created_at":"2026-05-18T01:41:58Z","signer":{"key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","signer_id":"pith.science","signer_type":"pith_registry"},"payload":{"graph_snapshot":{"author_claims":{"count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","strong_count":0},"builder_version":"pith-number-builder-2026-05-17-v1","claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"paper":{"abstract_excerpt":"We study the finite horizon Merton portfolio optimization problem in a general local-stochastic volatility setting. Using model coefficient expansion techniques, we derive approximations for the both the value function and the optimal investment strategy. We also analyze the `implied Sharpe ratio' and derive a series approximation for this quantity. The zeroth-order approximation of the value function and optimal investment strategy correspond to those obtained by Merton (1969) when the risky asset follows a geometric Brownian motion. The first-order correction of the value function can, for g","authors_text":"Matthew Lorig, Ronnie Sircar","cross_cats":[],"headline":"","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.CP","submitted_at":"2015-06-19T23:30:14Z","title":"Portfolio Optimization under Local-Stochastic Volatility: Coefficient Taylor Series Approximations & Implied Sharpe Ratio"},"references":{"count":0,"internal_anchors":0,"resolved_work":0,"sample":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1506.06180","kind":"arxiv","version":1},"verdict":{"created_at":null,"id":null,"model_set":{},"one_line_summary":"","pipeline_version":null,"pith_extraction_headline":"","strongest_claim":"","weakest_assumption":""}},"verdict_id":null}}],"author_attestations":[],"timestamp_anchors":[],"storage_attestations":[],"citation_signatures":[],"replication_records":[],"corrections":[],"mirror_hints":[],"record_created":{"event_id":"sha256:f2b40e6d168e0e1a711c38456ff5496ccddad52d5b869d8b7c2d4d34c3087265","target":"record","created_at":"2026-05-18T01:41:58Z","signer":{"key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","signer_id":"pith.science","signer_type":"pith_registry"},"payload":{"attestation_state":"computed","canonical_record":{"metadata":{"abstract_canon_sha256":"5c5bdf2b4ce2fe8b3150e6d42bbd2fca81398d967916700b29d5f0bd050a95db","cross_cats_sorted":[],"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.CP","submitted_at":"2015-06-19T23:30:14Z","title_canon_sha256":"68f52e57fe9756500a6796eb789f00a3e15306a42dff41bb08c32d265c517daa"},"schema_version":"1.0","source":{"id":"1506.06180","kind":"arxiv","version":1}},"canonical_sha256":"00d23d4a5ba4a3f3363cd8c21448e7b556a8cb4ed0228d104ce074753a38c021","receipt":{"algorithm":"ed25519","builder_version":"pith-number-builder-2026-05-17-v1","canonical_sha256":"00d23d4a5ba4a3f3363cd8c21448e7b556a8cb4ed0228d104ce074753a38c021","first_computed_at":"2026-05-18T01:41:58.520859Z","key_id":"pith-v1-2026-05","kind":"pith_receipt","last_reissued_at":"2026-05-18T01:41:58.520859Z","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","receipt_version":"0.3","signature_b64":"Uebhu/vyS4E2KUkdG8FZhBlA8cOaFcNTdJ9kfS+G7Dj053HapXB6yJAGYkAzuTe14k106T8hrsgzNV5Sd84wCg==","signature_status":"signed_v1","signed_at":"2026-05-18T01:41:58.521301Z","signed_message":"canonical_sha256_bytes"},"source_id":"1506.06180","source_kind":"arxiv","source_version":1}}},"equivocations":[],"invalid_events":[],"applied_event_ids":["sha256:f2b40e6d168e0e1a711c38456ff5496ccddad52d5b869d8b7c2d4d34c3087265","sha256:6f931483e502cc6add9df988cd4d028f7084c9d9fead1b69b4b2d4287eaa63a7"],"state_sha256":"b24d301d3beea4c568cf1bf240531c3e7b754d9049d36b42c42b961f9f5c71f1"}