{"record_type":"pith_number_record","schema_url":"https://pith.science/schemas/pith-number/v1.json","pith_number":"pith:2014:L7B5WHPTPMA3Y72NLF3SBTF5EZ","short_pith_number":"pith:L7B5WHPT","schema_version":"1.0","canonical_sha256":"5fc3db1df37b01bc7f4d597720ccbd267b29ff8a6c2a291daabe20f34d73c711","source":{"kind":"arxiv","id":"1403.5247","version":1},"attestation_state":"computed","paper":{"title":"Portfolio Optimization in Affine Models with Markov Switching","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":["math.OC"],"primary_cat":"q-fin.PM","authors_text":"Daniela Neykova, Marcos Escobar, Rudi Zagst","submitted_at":"2014-03-20T19:42:38Z","abstract_excerpt":"We consider a stochastic factor financial model where the asset price process and the process for the stochastic factor depend on an observable Markov chain and exhibit an affine structure. We are faced with a finite time investment horizon and derive optimal dynamic investment strategies that maximize the investor's expected utility from terminal wealth. To this aim we apply Merton's approach, as we are dealing with an incomplete market. Based on the semimartingale characterization of Markov chains we first derive the HJB equations, which in our case correspond to a system of coupled non-line"},"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":"1403.5247","kind":"arxiv","version":1},"metadata":{"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.PM","submitted_at":"2014-03-20T19:42:38Z","cross_cats_sorted":["math.OC"],"title_canon_sha256":"5c55acf016a2eadeeaec69d330414ffd8fcf9428bf62574c69c724b5b245668e","abstract_canon_sha256":"d626bba9d9ff1bb6179990ce849527b15ec009d223fe44e1c81ef6b27c3c1a5f"},"schema_version":"1.0"},"receipt":{"kind":"pith_receipt","key_id":"pith-v1-2026-05","algorithm":"ed25519","signed_at":"2026-05-18T02:55:57.920895Z","signature_b64":"nHsZW5xhqi+v/RJdS1zTW/F2thfrK79xYD9x6UDsEIvwLnGOmon5pHxF7d/9VTLDNunr5Hn9hqCJa8jmyzj0Ag==","signed_message":"canonical_sha256_bytes","builder_version":"pith-number-builder-2026-05-17-v1","receipt_version":"0.3","canonical_sha256":"5fc3db1df37b01bc7f4d597720ccbd267b29ff8a6c2a291daabe20f34d73c711","last_reissued_at":"2026-05-18T02:55:57.920468Z","signature_status":"signed_v1","first_computed_at":"2026-05-18T02:55:57.920468Z","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54"},"graph_snapshot":{"paper":{"title":"Portfolio Optimization in Affine Models with Markov Switching","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":["math.OC"],"primary_cat":"q-fin.PM","authors_text":"Daniela Neykova, Marcos Escobar, Rudi Zagst","submitted_at":"2014-03-20T19:42:38Z","abstract_excerpt":"We consider a stochastic factor financial model where the asset price process and the process for the stochastic factor depend on an observable Markov chain and exhibit an affine structure. We are faced with a finite time investment horizon and derive optimal dynamic investment strategies that maximize the investor's expected utility from terminal wealth. To this aim we apply Merton's approach, as we are dealing with an incomplete market. Based on the semimartingale characterization of Markov chains we first derive the HJB equations, which in our case correspond to a system of coupled non-line"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1403.5247","kind":"arxiv","version":1},"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":"1403.5247","created_at":"2026-05-18T02:55:57.920527+00:00"},{"alias_kind":"arxiv_version","alias_value":"1403.5247v1","created_at":"2026-05-18T02:55:57.920527+00:00"},{"alias_kind":"doi","alias_value":"10.48550/arxiv.1403.5247","created_at":"2026-05-18T02:55:57.920527+00:00"},{"alias_kind":"pith_short_12","alias_value":"L7B5WHPTPMA3","created_at":"2026-05-18T12:28:35.611951+00:00"},{"alias_kind":"pith_short_16","alias_value":"L7B5WHPTPMA3Y72N","created_at":"2026-05-18T12:28:35.611951+00:00"},{"alias_kind":"pith_short_8","alias_value":"L7B5WHPT","created_at":"2026-05-18T12:28:35.611951+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/L7B5WHPTPMA3Y72NLF3SBTF5EZ","json":"https://pith.science/pith/L7B5WHPTPMA3Y72NLF3SBTF5EZ.json","graph_json":"https://pith.science/api/pith-number/L7B5WHPTPMA3Y72NLF3SBTF5EZ/graph.json","events_json":"https://pith.science/api/pith-number/L7B5WHPTPMA3Y72NLF3SBTF5EZ/events.json","paper":"https://pith.science/paper/L7B5WHPT"},"agent_actions":{"view_html":"https://pith.science/pith/L7B5WHPTPMA3Y72NLF3SBTF5EZ","download_json":"https://pith.science/pith/L7B5WHPTPMA3Y72NLF3SBTF5EZ.json","view_paper":"https://pith.science/paper/L7B5WHPT","resolve_alias":"https://pith.science/api/pith-number/resolve?arxiv=1403.5247&json=true","fetch_graph":"https://pith.science/api/pith-number/L7B5WHPTPMA3Y72NLF3SBTF5EZ/graph.json","fetch_events":"https://pith.science/api/pith-number/L7B5WHPTPMA3Y72NLF3SBTF5EZ/events.json","actions":{"anchor_timestamp":"https://pith.science/pith/L7B5WHPTPMA3Y72NLF3SBTF5EZ/action/timestamp_anchor","attest_storage":"https://pith.science/pith/L7B5WHPTPMA3Y72NLF3SBTF5EZ/action/storage_attestation","attest_author":"https://pith.science/pith/L7B5WHPTPMA3Y72NLF3SBTF5EZ/action/author_attestation","sign_citation":"https://pith.science/pith/L7B5WHPTPMA3Y72NLF3SBTF5EZ/action/citation_signature","submit_replication":"https://pith.science/pith/L7B5WHPTPMA3Y72NLF3SBTF5EZ/action/replication_record"}},"created_at":"2026-05-18T02:55:57.920527+00:00","updated_at":"2026-05-18T02:55:57.920527+00:00"}