{"state_type":"pith_open_graph_state","state_version":"1.0","pith_number":"pith:2016:U7445ZSDO2PJZX7DGYKKZSZZTN","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":"604d56834c2361febf27f11f4aee56b80452115fc2a59f4c0852cb7eb9b082bb","cross_cats_sorted":[],"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.PM","submitted_at":"2016-03-27T03:25:13Z","title_canon_sha256":"6f1341a9b6895450dd6d41919decba5a6ef54fca5e9c8644f0aad21d3cdab5a5"},"schema_version":"1.0","source":{"id":"1603.08169","kind":"arxiv","version":1}},"source_aliases":[{"alias_kind":"arxiv","alias_value":"1603.08169","created_at":"2026-05-18T01:18:13Z"},{"alias_kind":"arxiv_version","alias_value":"1603.08169v1","created_at":"2026-05-18T01:18:13Z"},{"alias_kind":"doi","alias_value":"10.48550/arxiv.1603.08169","created_at":"2026-05-18T01:18:13Z"},{"alias_kind":"pith_short_12","alias_value":"U7445ZSDO2PJ","created_at":"2026-05-18T12:30:46Z"},{"alias_kind":"pith_short_16","alias_value":"U7445ZSDO2PJZX7D","created_at":"2026-05-18T12:30:46Z"},{"alias_kind":"pith_short_8","alias_value":"U7445ZSD","created_at":"2026-05-18T12:30:46Z"}],"graph_snapshots":[{"event_id":"sha256:fabadc94230ddf83176c0abb0e5b71e7d5f519b0ac3f98ed421fe855e1e8ec40","target":"graph","created_at":"2026-05-18T01:18:13Z","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 introduce a dynamic credit portfolio framework where optimal investment strategies are robust against misspecifications of the reference credit model. The risk-averse investor models his fear of credit risk misspecification by considering a set of plausible alternatives whose expected log likelihood ratios are penalized. We provide an explicit characterization of the optimal robust bond investment strategy, in terms of default state dependent value functions associated with the max-min robust optimization criterion. The value functions can be obtained as the solutions of a recursive system ","authors_text":"Agostino Capponi, Lijun Bo","cross_cats":[],"headline":"","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.PM","submitted_at":"2016-03-27T03:25:13Z","title":"Robust Optimization of Credit Portfolios"},"references":{"count":0,"internal_anchors":0,"resolved_work":0,"sample":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1603.08169","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":"sha256:072da317f158ed937867e1a98bc28a0c575bed29f4676ac7941b7a5be1b5b7a9","target":"record","created_at":"2026-05-18T01:18:13Z","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":"604d56834c2361febf27f11f4aee56b80452115fc2a59f4c0852cb7eb9b082bb","cross_cats_sorted":[],"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.PM","submitted_at":"2016-03-27T03:25:13Z","title_canon_sha256":"6f1341a9b6895450dd6d41919decba5a6ef54fca5e9c8644f0aad21d3cdab5a5"},"schema_version":"1.0","source":{"id":"1603.08169","kind":"arxiv","version":1}},"canonical_sha256":"a7f9cee643769e9cdfe33614accb399b59b23d1355a6df53d58120dcc07e7daa","receipt":{"algorithm":"ed25519","builder_version":"pith-number-builder-2026-05-17-v1","canonical_sha256":"a7f9cee643769e9cdfe33614accb399b59b23d1355a6df53d58120dcc07e7daa","first_computed_at":"2026-05-18T01:18:13.057141Z","key_id":"pith-v1-2026-05","kind":"pith_receipt","last_reissued_at":"2026-05-18T01:18:13.057141Z","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","receipt_version":"0.3","signature_b64":"DECbZqf2+chYQDC1/jKPJNF9S8Q2MbEMcOGCQCpqev60jfUveAo/u5MA9kBpNE5lCbVZljLXrbir75m5TK8KDA==","signature_status":"signed_v1","signed_at":"2026-05-18T01:18:13.057680Z","signed_message":"canonical_sha256_bytes"},"source_id":"1603.08169","source_kind":"arxiv","source_version":1}}},"equivocations":[],"invalid_events":[],"applied_event_ids":["sha256:072da317f158ed937867e1a98bc28a0c575bed29f4676ac7941b7a5be1b5b7a9","sha256:fabadc94230ddf83176c0abb0e5b71e7d5f519b0ac3f98ed421fe855e1e8ec40"],"state_sha256":"5629c2dc88b37ee791a7b8d4fa789ed3999bef7d6d4a30ae3bdd4ef6b897dd7d"}