{"record_type":"pith_number_record","schema_url":"https://pith.science/schemas/pith-number/v1.json","pith_number":"pith:2017:MCD2UTMSB6TUHTZ27GWK67UJ7F","short_pith_number":"pith:MCD2UTMS","schema_version":"1.0","canonical_sha256":"6087aa4d920fa743cf3af9acaf7e89f96cbb2631fd8b73e578b17ccb617c99cb","source":{"kind":"arxiv","id":"1705.10454","version":1},"attestation_state":"computed","paper":{"title":"Dynamic Index Tracking and Risk Exposure Control Using Derivatives","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":["q-fin.PM","q-fin.RM"],"primary_cat":"q-fin.MF","authors_text":"Brian Ward, Tim Leung","submitted_at":"2017-05-30T04:30:53Z","abstract_excerpt":"We develop a methodology for index tracking and risk exposure control using financial derivatives. Under a continuous-time diffusion framework for price evolution, we present a pathwise approach to construct dynamic portfolios of derivatives in order to gain exposure to an index and/or market factors that may be not directly tradable. Among our results, we establish a general tracking condition that relates the portfolio drift to the desired exposure coefficients under any given model. We also derive a slippage process that reveals how the portfolio return deviates from the targeted return. In"},"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":"1705.10454","kind":"arxiv","version":1},"metadata":{"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.MF","submitted_at":"2017-05-30T04:30:53Z","cross_cats_sorted":["q-fin.PM","q-fin.RM"],"title_canon_sha256":"a6682130cbe976661e7a78c505f896bf99f556a56322872e66fff902463a980e","abstract_canon_sha256":"26ef6b19394ee0798dc8a6441df674f2ec4cd181c36229b2b7eef1a30b73c3f5"},"schema_version":"1.0"},"receipt":{"kind":"pith_receipt","key_id":"pith-v1-2026-05","algorithm":"ed25519","signed_at":"2026-05-18T00:43:24.536482Z","signature_b64":"DWKspJRQqhYrYTzuBH7vSzcRUDup1LmARWUW4po9uffP9VsdbwJJ1ZMv5KCh+5VeREnRNHeqI/lzXaVk55FeBg==","signed_message":"canonical_sha256_bytes","builder_version":"pith-number-builder-2026-05-17-v1","receipt_version":"0.3","canonical_sha256":"6087aa4d920fa743cf3af9acaf7e89f96cbb2631fd8b73e578b17ccb617c99cb","last_reissued_at":"2026-05-18T00:43:24.535960Z","signature_status":"signed_v1","first_computed_at":"2026-05-18T00:43:24.535960Z","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54"},"graph_snapshot":{"paper":{"title":"Dynamic Index Tracking and Risk Exposure Control Using Derivatives","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":["q-fin.PM","q-fin.RM"],"primary_cat":"q-fin.MF","authors_text":"Brian Ward, Tim Leung","submitted_at":"2017-05-30T04:30:53Z","abstract_excerpt":"We develop a methodology for index tracking and risk exposure control using financial derivatives. Under a continuous-time diffusion framework for price evolution, we present a pathwise approach to construct dynamic portfolios of derivatives in order to gain exposure to an index and/or market factors that may be not directly tradable. Among our results, we establish a general tracking condition that relates the portfolio drift to the desired exposure coefficients under any given model. We also derive a slippage process that reveals how the portfolio return deviates from the targeted return. In"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1705.10454","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":"1705.10454","created_at":"2026-05-18T00:43:24.536057+00:00"},{"alias_kind":"arxiv_version","alias_value":"1705.10454v1","created_at":"2026-05-18T00:43:24.536057+00:00"},{"alias_kind":"doi","alias_value":"10.48550/arxiv.1705.10454","created_at":"2026-05-18T00:43:24.536057+00:00"},{"alias_kind":"pith_short_12","alias_value":"MCD2UTMSB6TU","created_at":"2026-05-18T12:31:31.346846+00:00"},{"alias_kind":"pith_short_16","alias_value":"MCD2UTMSB6TUHTZ2","created_at":"2026-05-18T12:31:31.346846+00:00"},{"alias_kind":"pith_short_8","alias_value":"MCD2UTMS","created_at":"2026-05-18T12:31:31.346846+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/MCD2UTMSB6TUHTZ27GWK67UJ7F","json":"https://pith.science/pith/MCD2UTMSB6TUHTZ27GWK67UJ7F.json","graph_json":"https://pith.science/api/pith-number/MCD2UTMSB6TUHTZ27GWK67UJ7F/graph.json","events_json":"https://pith.science/api/pith-number/MCD2UTMSB6TUHTZ27GWK67UJ7F/events.json","paper":"https://pith.science/paper/MCD2UTMS"},"agent_actions":{"view_html":"https://pith.science/pith/MCD2UTMSB6TUHTZ27GWK67UJ7F","download_json":"https://pith.science/pith/MCD2UTMSB6TUHTZ27GWK67UJ7F.json","view_paper":"https://pith.science/paper/MCD2UTMS","resolve_alias":"https://pith.science/api/pith-number/resolve?arxiv=1705.10454&json=true","fetch_graph":"https://pith.science/api/pith-number/MCD2UTMSB6TUHTZ27GWK67UJ7F/graph.json","fetch_events":"https://pith.science/api/pith-number/MCD2UTMSB6TUHTZ27GWK67UJ7F/events.json","actions":{"anchor_timestamp":"https://pith.science/pith/MCD2UTMSB6TUHTZ27GWK67UJ7F/action/timestamp_anchor","attest_storage":"https://pith.science/pith/MCD2UTMSB6TUHTZ27GWK67UJ7F/action/storage_attestation","attest_author":"https://pith.science/pith/MCD2UTMSB6TUHTZ27GWK67UJ7F/action/author_attestation","sign_citation":"https://pith.science/pith/MCD2UTMSB6TUHTZ27GWK67UJ7F/action/citation_signature","submit_replication":"https://pith.science/pith/MCD2UTMSB6TUHTZ27GWK67UJ7F/action/replication_record"}},"created_at":"2026-05-18T00:43:24.536057+00:00","updated_at":"2026-05-18T00:43:24.536057+00:00"}