{"record_type":"pith_number_record","schema_url":"https://pith.science/schemas/pith-number/v1.json","pith_number":"pith:2011:ILQLIEYVTK4NGFT4C4EXSE3H64","short_pith_number":"pith:ILQLIEYV","schema_version":"1.0","canonical_sha256":"42e0b413159ab8d3167c1709791367f732da4f2f674165da7682dfaa3a0970b4","source":{"kind":"arxiv","id":"1105.0042","version":2},"attestation_state":"computed","paper":{"title":"Dynamic Portfolio Optimization with a Defaultable Security and Regime Switching","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":[],"primary_cat":"q-fin.PM","authors_text":"Agostino Capponi, Jose E. Figueroa-Lopez","submitted_at":"2011-04-30T03:05:32Z","abstract_excerpt":"We consider a portfolio optimization problem in a defaultable market with finitely-many economical regimes, where the investor can dynamically allocate her wealth among a defaultable bond, a stock, and a money market account. The market coefficients are assumed to depend on the market regime in place, which is modeled by a finite state continuous time Markov process. We rigorously deduce the dynamics of the defaultable bond price process in terms of a Markov modulated stochastic differential equation. Then, by separating the utility maximization problem into the pre-default and post-default sc"},"verification_status":{"content_addressed":true,"pith_receipt":true,"author_attested":false,"weak_author_claims":0,"strong_author_claims":0,"externally_anchored":false,"storage_verified":false,"citation_signatures":0,"replication_records":0,"graph_snapshot":true,"references_resolved":false,"formal_links_present":false},"canonical_record":{"source":{"id":"1105.0042","kind":"arxiv","version":2},"metadata":{"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.PM","submitted_at":"2011-04-30T03:05:32Z","cross_cats_sorted":[],"title_canon_sha256":"e02dc92aa78aacc908beb67c2761e8ce0874449dc7294158c35e83c9d53b4d4e","abstract_canon_sha256":"cebc0c708bb23d92f0d31432e2eafbe13cdb6b5f8a9bcf179b600173b921c5ab"},"schema_version":"1.0"},"receipt":{"kind":"pith_receipt","key_id":"pith-v1-2026-05","algorithm":"ed25519","signed_at":"2026-05-18T04:14:05.777896Z","signature_b64":"b4IjBTUcFDn4IOMaI3nAl250qvvsTAhC2OsI+OKwhmtiUfKTlErF3cpxglgLBow2LZc1EMp0AuMIMph5bTfSAg==","signed_message":"canonical_sha256_bytes","builder_version":"pith-number-builder-2026-05-17-v1","receipt_version":"0.3","canonical_sha256":"42e0b413159ab8d3167c1709791367f732da4f2f674165da7682dfaa3a0970b4","last_reissued_at":"2026-05-18T04:14:05.777310Z","signature_status":"signed_v1","first_computed_at":"2026-05-18T04:14:05.777310Z","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54"},"graph_snapshot":{"paper":{"title":"Dynamic Portfolio Optimization with a Defaultable Security and Regime Switching","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":[],"primary_cat":"q-fin.PM","authors_text":"Agostino Capponi, Jose E. Figueroa-Lopez","submitted_at":"2011-04-30T03:05:32Z","abstract_excerpt":"We consider a portfolio optimization problem in a defaultable market with finitely-many economical regimes, where the investor can dynamically allocate her wealth among a defaultable bond, a stock, and a money market account. The market coefficients are assumed to depend on the market regime in place, which is modeled by a finite state continuous time Markov process. We rigorously deduce the dynamics of the defaultable bond price process in terms of a Markov modulated stochastic differential equation. Then, by separating the utility maximization problem into the pre-default and post-default sc"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1105.0042","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"},"aliases":[{"alias_kind":"arxiv","alias_value":"1105.0042","created_at":"2026-05-18T04:14:05.777404+00:00"},{"alias_kind":"arxiv_version","alias_value":"1105.0042v2","created_at":"2026-05-18T04:14:05.777404+00:00"},{"alias_kind":"doi","alias_value":"10.48550/arxiv.1105.0042","created_at":"2026-05-18T04:14:05.777404+00:00"},{"alias_kind":"pith_short_12","alias_value":"ILQLIEYVTK4N","created_at":"2026-05-18T12:26:32.869790+00:00"},{"alias_kind":"pith_short_16","alias_value":"ILQLIEYVTK4NGFT4","created_at":"2026-05-18T12:26:32.869790+00:00"},{"alias_kind":"pith_short_8","alias_value":"ILQLIEYV","created_at":"2026-05-18T12:26:32.869790+00:00"}],"events":[],"event_summary":{},"paper_claims":[],"inbound_citations":{"count":0,"internal_anchor_count":0,"sample":[]},"formal_canon":{"evidence_count":0,"sample":[],"anchors":[]},"links":{"html":"https://pith.science/pith/ILQLIEYVTK4NGFT4C4EXSE3H64","json":"https://pith.science/pith/ILQLIEYVTK4NGFT4C4EXSE3H64.json","graph_json":"https://pith.science/api/pith-number/ILQLIEYVTK4NGFT4C4EXSE3H64/graph.json","events_json":"https://pith.science/api/pith-number/ILQLIEYVTK4NGFT4C4EXSE3H64/events.json","paper":"https://pith.science/paper/ILQLIEYV"},"agent_actions":{"view_html":"https://pith.science/pith/ILQLIEYVTK4NGFT4C4EXSE3H64","download_json":"https://pith.science/pith/ILQLIEYVTK4NGFT4C4EXSE3H64.json","view_paper":"https://pith.science/paper/ILQLIEYV","resolve_alias":"https://pith.science/api/pith-number/resolve?arxiv=1105.0042&json=true","fetch_graph":"https://pith.science/api/pith-number/ILQLIEYVTK4NGFT4C4EXSE3H64/graph.json","fetch_events":"https://pith.science/api/pith-number/ILQLIEYVTK4NGFT4C4EXSE3H64/events.json","actions":{"anchor_timestamp":"https://pith.science/pith/ILQLIEYVTK4NGFT4C4EXSE3H64/action/timestamp_anchor","attest_storage":"https://pith.science/pith/ILQLIEYVTK4NGFT4C4EXSE3H64/action/storage_attestation","attest_author":"https://pith.science/pith/ILQLIEYVTK4NGFT4C4EXSE3H64/action/author_attestation","sign_citation":"https://pith.science/pith/ILQLIEYVTK4NGFT4C4EXSE3H64/action/citation_signature","submit_replication":"https://pith.science/pith/ILQLIEYVTK4NGFT4C4EXSE3H64/action/replication_record"}},"created_at":"2026-05-18T04:14:05.777404+00:00","updated_at":"2026-05-18T04:14:05.777404+00:00"}