{"record_type":"pith_number_record","schema_url":"https://pith.science/schemas/pith-number/v1.json","pith_number":"pith:2017:Z4BCWH3CD2CNUMUMTLTGOMIVJ2","short_pith_number":"pith:Z4BCWH3C","schema_version":"1.0","canonical_sha256":"cf022b1f621e84da328c9ae66731154e971e0cf0dc35e6dacbba83d7d947d2f4","source":{"kind":"arxiv","id":"1705.08291","version":1},"attestation_state":"computed","paper":{"title":"Sensitivity analysis of the utility maximization problem with respect to model perturbations","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":["math.OC","math.PR"],"primary_cat":"q-fin.PM","authors_text":"Mihai S\\^irbu, Oleksii Mostovyi","submitted_at":"2017-05-23T14:10:44Z","abstract_excerpt":"We study the sensitivity of the expected utility maximization problem in a continuous semi-martingale market with respect to small changes in the market price of risk. Assuming that the preferences of a rational economic agent are modeled with a general utility function, we obtain a second-order expansion of the value function, a first-order approximation of the terminal wealth, and construct trading strategies that match the indirect utility function up to the second order. If a risk-tolerance wealth process exists, using it as a num\\'eraire and under an appropriate change of measure, we redu"},"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":"1705.08291","kind":"arxiv","version":1},"metadata":{"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.PM","submitted_at":"2017-05-23T14:10:44Z","cross_cats_sorted":["math.OC","math.PR"],"title_canon_sha256":"4a17d3cb76bd8b5ebcaaee5cecb5258e13364a42501e44a061eb46fa47fba447","abstract_canon_sha256":"fba7e4db516b4116b419d79dd653605ff07e6892c75ecbfb7b7aabf84b54fb68"},"schema_version":"1.0"},"receipt":{"kind":"pith_receipt","key_id":"pith-v1-2026-05","algorithm":"ed25519","signed_at":"2026-05-18T00:43:48.747347Z","signature_b64":"6uWtRVqMj0iQMXyV4Jzv0Haoccv/UJZpNVGXialYDJC+Mpo1GWipAObmy2kOqDkBa51U2hEHWuszv3RM/3m2Bg==","signed_message":"canonical_sha256_bytes","builder_version":"pith-number-builder-2026-05-17-v1","receipt_version":"0.3","canonical_sha256":"cf022b1f621e84da328c9ae66731154e971e0cf0dc35e6dacbba83d7d947d2f4","last_reissued_at":"2026-05-18T00:43:48.746724Z","signature_status":"signed_v1","first_computed_at":"2026-05-18T00:43:48.746724Z","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54"},"graph_snapshot":{"paper":{"title":"Sensitivity analysis of the utility maximization problem with respect to model perturbations","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":["math.OC","math.PR"],"primary_cat":"q-fin.PM","authors_text":"Mihai S\\^irbu, Oleksii Mostovyi","submitted_at":"2017-05-23T14:10:44Z","abstract_excerpt":"We study the sensitivity of the expected utility maximization problem in a continuous semi-martingale market with respect to small changes in the market price of risk. Assuming that the preferences of a rational economic agent are modeled with a general utility function, we obtain a second-order expansion of the value function, a first-order approximation of the terminal wealth, and construct trading strategies that match the indirect utility function up to the second order. If a risk-tolerance wealth process exists, using it as a num\\'eraire and under an appropriate change of measure, we redu"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1705.08291","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":"1705.08291","created_at":"2026-05-18T00:43:48.746822+00:00"},{"alias_kind":"arxiv_version","alias_value":"1705.08291v1","created_at":"2026-05-18T00:43:48.746822+00:00"},{"alias_kind":"doi","alias_value":"10.48550/arxiv.1705.08291","created_at":"2026-05-18T00:43:48.746822+00:00"},{"alias_kind":"pith_short_12","alias_value":"Z4BCWH3CD2CN","created_at":"2026-05-18T12:31:59.375834+00:00"},{"alias_kind":"pith_short_16","alias_value":"Z4BCWH3CD2CNUMUM","created_at":"2026-05-18T12:31:59.375834+00:00"},{"alias_kind":"pith_short_8","alias_value":"Z4BCWH3C","created_at":"2026-05-18T12:31:59.375834+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/Z4BCWH3CD2CNUMUMTLTGOMIVJ2","json":"https://pith.science/pith/Z4BCWH3CD2CNUMUMTLTGOMIVJ2.json","graph_json":"https://pith.science/api/pith-number/Z4BCWH3CD2CNUMUMTLTGOMIVJ2/graph.json","events_json":"https://pith.science/api/pith-number/Z4BCWH3CD2CNUMUMTLTGOMIVJ2/events.json","paper":"https://pith.science/paper/Z4BCWH3C"},"agent_actions":{"view_html":"https://pith.science/pith/Z4BCWH3CD2CNUMUMTLTGOMIVJ2","download_json":"https://pith.science/pith/Z4BCWH3CD2CNUMUMTLTGOMIVJ2.json","view_paper":"https://pith.science/paper/Z4BCWH3C","resolve_alias":"https://pith.science/api/pith-number/resolve?arxiv=1705.08291&json=true","fetch_graph":"https://pith.science/api/pith-number/Z4BCWH3CD2CNUMUMTLTGOMIVJ2/graph.json","fetch_events":"https://pith.science/api/pith-number/Z4BCWH3CD2CNUMUMTLTGOMIVJ2/events.json","actions":{"anchor_timestamp":"https://pith.science/pith/Z4BCWH3CD2CNUMUMTLTGOMIVJ2/action/timestamp_anchor","attest_storage":"https://pith.science/pith/Z4BCWH3CD2CNUMUMTLTGOMIVJ2/action/storage_attestation","attest_author":"https://pith.science/pith/Z4BCWH3CD2CNUMUMTLTGOMIVJ2/action/author_attestation","sign_citation":"https://pith.science/pith/Z4BCWH3CD2CNUMUMTLTGOMIVJ2/action/citation_signature","submit_replication":"https://pith.science/pith/Z4BCWH3CD2CNUMUMTLTGOMIVJ2/action/replication_record"}},"created_at":"2026-05-18T00:43:48.746822+00:00","updated_at":"2026-05-18T00:43:48.746822+00:00"}