{"bundle_type":"pith_open_graph_bundle","bundle_version":"1.0","pith_number":"pith:2009:ET5UZRSOM7QWH6P4LOJKWN4H5Y","short_pith_number":"pith:ET5UZRSO","canonical_record":{"source":{"id":"0905.4740","kind":"arxiv","version":2},"metadata":{"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.PM","submitted_at":"2009-05-28T20:27:27Z","cross_cats_sorted":[],"title_canon_sha256":"e7853e35b03160a4fb262bda48d6f4977bb70658a0e4ae8327a2917d1b9df622","abstract_canon_sha256":"f6ff7e9dd3324ba4f8dbab11381b5458b1a4893b892bc747c5199a018f201c01"},"schema_version":"1.0"},"canonical_sha256":"24fb4cc64e67e163f9fc5b92ab3787ee093ff40020390678fddef934e072e311","source":{"kind":"arxiv","id":"0905.4740","version":2},"source_aliases":[{"alias_kind":"arxiv","alias_value":"0905.4740","created_at":"2026-05-18T02:24:55Z"},{"alias_kind":"arxiv_version","alias_value":"0905.4740v2","created_at":"2026-05-18T02:24:55Z"},{"alias_kind":"doi","alias_value":"10.48550/arxiv.0905.4740","created_at":"2026-05-18T02:24:55Z"},{"alias_kind":"pith_short_12","alias_value":"ET5UZRSOM7QW","created_at":"2026-05-18T12:25:59Z"},{"alias_kind":"pith_short_16","alias_value":"ET5UZRSOM7QWH6P4","created_at":"2026-05-18T12:25:59Z"},{"alias_kind":"pith_short_8","alias_value":"ET5UZRSO","created_at":"2026-05-18T12:25:59Z"}],"events":[{"event_type":"record_created","subject_pith_number":"pith:2009:ET5UZRSOM7QWH6P4LOJKWN4H5Y","target":"record","payload":{"canonical_record":{"source":{"id":"0905.4740","kind":"arxiv","version":2},"metadata":{"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.PM","submitted_at":"2009-05-28T20:27:27Z","cross_cats_sorted":[],"title_canon_sha256":"e7853e35b03160a4fb262bda48d6f4977bb70658a0e4ae8327a2917d1b9df622","abstract_canon_sha256":"f6ff7e9dd3324ba4f8dbab11381b5458b1a4893b892bc747c5199a018f201c01"},"schema_version":"1.0"},"canonical_sha256":"24fb4cc64e67e163f9fc5b92ab3787ee093ff40020390678fddef934e072e311","receipt":{"kind":"pith_receipt","key_id":"pith-v1-2026-05","algorithm":"ed25519","signed_at":"2026-05-18T02:24:55.626961Z","signature_b64":"IS4Gn6nSVcUo/jiHHQ68i3ERGiv1ogCf6MCigN3/KyuzTh06maqZLrOTw/hyrYXtjImkAsH6AQSHxnIGpkXADg==","signed_message":"canonical_sha256_bytes","builder_version":"pith-number-builder-2026-05-17-v1","receipt_version":"0.3","canonical_sha256":"24fb4cc64e67e163f9fc5b92ab3787ee093ff40020390678fddef934e072e311","last_reissued_at":"2026-05-18T02:24:55.626060Z","signature_status":"signed_v1","first_computed_at":"2026-05-18T02:24:55.626060Z","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54"},"source_kind":"arxiv","source_id":"0905.4740","source_version":2,"attestation_state":"computed"},"signer":{"signer_id":"pith.science","signer_type":"pith_registry","key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54"},"created_at":"2026-05-18T02:24:55Z","supersedes":[],"prev_event":null,"signature":{"signature_status":"signed_v1","algorithm":"ed25519","key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","signature_b64":"81B0nU0wkPb8YGYud0Rdh8DeutbTiwv/8UvY73t4jozEfsayZr6eb0dCaVLIuhI+viuczQ27hSwdDLOHXcukCw==","signed_message":"open_graph_event_sha256_bytes","signed_at":"2026-06-10T16:27:59.235921Z"},"content_sha256":"e7fb0c608677898dee67f24a78ab0878e690ae19f1c6d42a82c493b9abab6f49","schema_version":"1.0","event_id":"sha256:e7fb0c608677898dee67f24a78ab0878e690ae19f1c6d42a82c493b9abab6f49"},{"event_type":"graph_snapshot","subject_pith_number":"pith:2009:ET5UZRSOM7QWH6P4LOJKWN4H5Y","target":"graph","payload":{"graph_snapshot":{"paper":{"title":"Jump-Diffusion Risk-Sensitive Asset Management","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":[],"primary_cat":"q-fin.PM","authors_text":"Mark H.A. Davis, Sebastien Lleo","submitted_at":"2009-05-28T20:27:27Z","abstract_excerpt":"This paper considers a portfolio optimization problem in which asset prices are represented by SDEs driven by Brownian motion and a Poisson random measure, with drifts that are functions of an auxiliary diffusion 'factor' process. The criterion, following earlier work by Bielecki, Pliska, Nagai and others, is risk-sensitive optimization (equivalent to maximizing the expected growth rate subject to a constraint on variance.) By using a change of measure technique introduced by Kuroda and Nagai we show that the problem reduces to solving a certain stochastic control problem in the factor process"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"0905.4740","kind":"arxiv","version":2},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"},"verdict_id":null},"signer":{"signer_id":"pith.science","signer_type":"pith_registry","key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54"},"created_at":"2026-05-18T02:24:55Z","supersedes":[],"prev_event":null,"signature":{"signature_status":"signed_v1","algorithm":"ed25519","key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","signature_b64":"3LvG53HDt1n/0bZIbsTqCGx0oSc9o88Cxd9rnxpDf7K0gLQ+bGCVc+CQZJlwd6Ibr6h8pWLWzVozzQhdG0MKAQ==","signed_message":"open_graph_event_sha256_bytes","signed_at":"2026-06-10T16:27:59.236265Z"},"content_sha256":"c8d002e6de2538c4f17917d9e312c5f18d3d8210715e1b5834f8f93a69fefb79","schema_version":"1.0","event_id":"sha256:c8d002e6de2538c4f17917d9e312c5f18d3d8210715e1b5834f8f93a69fefb79"}],"timestamp_proofs":[],"mirror_hints":[{"mirror_type":"https","name":"Pith Resolver","base_url":"https://pith.science","bundle_url":"https://pith.science/pith/ET5UZRSOM7QWH6P4LOJKWN4H5Y/bundle.json","state_url":"https://pith.science/pith/ET5UZRSOM7QWH6P4LOJKWN4H5Y/state.json","well_known_bundle_url":"https://pith.science/.well-known/pith/ET5UZRSOM7QWH6P4LOJKWN4H5Y/bundle.json","status":"primary"}],"public_keys":[{"key_id":"pith-v1-2026-05","algorithm":"ed25519","format":"raw","public_key_b64":"stVStoiQhXFxp4s2pdzPNoqVNBMojDU/fJ2db5S3CbM=","public_key_hex":"b2d552b68890857171a78b36a5dccf368a953413288c353f7c9d9d6f94b709b3","fingerprint_sha256_b32_first128bits":"RVFV5Z2OI2J3ZUO7ERDEBCYNKS","fingerprint_sha256_hex":"8d4b5ee74e4693bcd1df2446408b0d54","rotates_at":null,"url":"https://pith.science/pith-signing-key.json","notes":"Pith uses this Ed25519 key to sign canonical record SHA-256 digests. Verify with: ed25519_verify(public_key, message=canonical_sha256_bytes, signature=base64decode(signature_b64))."}],"merge_version":"pith-open-graph-merge-v1","built_at":"2026-06-10T16:27:59Z","links":{"resolver":"https://pith.science/pith/ET5UZRSOM7QWH6P4LOJKWN4H5Y","bundle":"https://pith.science/pith/ET5UZRSOM7QWH6P4LOJKWN4H5Y/bundle.json","state":"https://pith.science/pith/ET5UZRSOM7QWH6P4LOJKWN4H5Y/state.json","well_known_bundle":"https://pith.science/.well-known/pith/ET5UZRSOM7QWH6P4LOJKWN4H5Y/bundle.json"},"state":{"state_type":"pith_open_graph_state","state_version":"1.0","pith_number":"pith:2009:ET5UZRSOM7QWH6P4LOJKWN4H5Y","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":"f6ff7e9dd3324ba4f8dbab11381b5458b1a4893b892bc747c5199a018f201c01","cross_cats_sorted":[],"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.PM","submitted_at":"2009-05-28T20:27:27Z","title_canon_sha256":"e7853e35b03160a4fb262bda48d6f4977bb70658a0e4ae8327a2917d1b9df622"},"schema_version":"1.0","source":{"id":"0905.4740","kind":"arxiv","version":2}},"source_aliases":[{"alias_kind":"arxiv","alias_value":"0905.4740","created_at":"2026-05-18T02:24:55Z"},{"alias_kind":"arxiv_version","alias_value":"0905.4740v2","created_at":"2026-05-18T02:24:55Z"},{"alias_kind":"doi","alias_value":"10.48550/arxiv.0905.4740","created_at":"2026-05-18T02:24:55Z"},{"alias_kind":"pith_short_12","alias_value":"ET5UZRSOM7QW","created_at":"2026-05-18T12:25:59Z"},{"alias_kind":"pith_short_16","alias_value":"ET5UZRSOM7QWH6P4","created_at":"2026-05-18T12:25:59Z"},{"alias_kind":"pith_short_8","alias_value":"ET5UZRSO","created_at":"2026-05-18T12:25:59Z"}],"graph_snapshots":[{"event_id":"sha256:c8d002e6de2538c4f17917d9e312c5f18d3d8210715e1b5834f8f93a69fefb79","target":"graph","created_at":"2026-05-18T02:24:55Z","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":"This paper considers a portfolio optimization problem in which asset prices are represented by SDEs driven by Brownian motion and a Poisson random measure, with drifts that are functions of an auxiliary diffusion 'factor' process. The criterion, following earlier work by Bielecki, Pliska, Nagai and others, is risk-sensitive optimization (equivalent to maximizing the expected growth rate subject to a constraint on variance.) By using a change of measure technique introduced by Kuroda and Nagai we show that the problem reduces to solving a certain stochastic control problem in the factor process","authors_text":"Mark H.A. Davis, Sebastien Lleo","cross_cats":[],"headline":"","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.PM","submitted_at":"2009-05-28T20:27:27Z","title":"Jump-Diffusion Risk-Sensitive Asset Management"},"references":{"count":0,"internal_anchors":0,"resolved_work":0,"sample":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"0905.4740","kind":"arxiv","version":2},"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:e7fb0c608677898dee67f24a78ab0878e690ae19f1c6d42a82c493b9abab6f49","target":"record","created_at":"2026-05-18T02:24:55Z","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":"f6ff7e9dd3324ba4f8dbab11381b5458b1a4893b892bc747c5199a018f201c01","cross_cats_sorted":[],"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.PM","submitted_at":"2009-05-28T20:27:27Z","title_canon_sha256":"e7853e35b03160a4fb262bda48d6f4977bb70658a0e4ae8327a2917d1b9df622"},"schema_version":"1.0","source":{"id":"0905.4740","kind":"arxiv","version":2}},"canonical_sha256":"24fb4cc64e67e163f9fc5b92ab3787ee093ff40020390678fddef934e072e311","receipt":{"algorithm":"ed25519","builder_version":"pith-number-builder-2026-05-17-v1","canonical_sha256":"24fb4cc64e67e163f9fc5b92ab3787ee093ff40020390678fddef934e072e311","first_computed_at":"2026-05-18T02:24:55.626060Z","key_id":"pith-v1-2026-05","kind":"pith_receipt","last_reissued_at":"2026-05-18T02:24:55.626060Z","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","receipt_version":"0.3","signature_b64":"IS4Gn6nSVcUo/jiHHQ68i3ERGiv1ogCf6MCigN3/KyuzTh06maqZLrOTw/hyrYXtjImkAsH6AQSHxnIGpkXADg==","signature_status":"signed_v1","signed_at":"2026-05-18T02:24:55.626961Z","signed_message":"canonical_sha256_bytes"},"source_id":"0905.4740","source_kind":"arxiv","source_version":2}}},"equivocations":[],"invalid_events":[],"applied_event_ids":["sha256:e7fb0c608677898dee67f24a78ab0878e690ae19f1c6d42a82c493b9abab6f49","sha256:c8d002e6de2538c4f17917d9e312c5f18d3d8210715e1b5834f8f93a69fefb79"],"state_sha256":"890d1c340e63017df269ca2055cc83c2a5baa510967c22f224d0b5844370db54"},"bundle_signature":{"signature_status":"signed_v1","algorithm":"ed25519","key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","signature_b64":"AZRsIC3nGznucJ+NbnzNNmVSLY1Sic8XXIYK/O2wUz1GBp4SscYToQT6VOn5gf++Ew0M4nOcKBbxA9sT9+mYBA==","signed_message":"bundle_sha256_bytes","signed_at":"2026-06-10T16:27:59.238208Z","bundle_sha256":"780c831b2d4a007b6fbdf6d40b3782d1e4e0ac749113029dcc59a93bb7e7c98b"}}