{"record_type":"pith_number_record","schema_url":"https://pith.science/schemas/pith-number/v1.json","pith_number":"pith:2018:RJH232ATQNQU323CZ7DZHR4VX5","short_pith_number":"pith:RJH232AT","schema_version":"1.0","canonical_sha256":"8a4fade81383614deb62cfc793c795bf70f6008da19d0215c32da4e01568c853","source":{"kind":"arxiv","id":"1810.11619","version":1},"attestation_state":"computed","paper":{"title":"Expected Utility Maximization and Conditional Value-at-Risk Deviation-based Sharpe Ratio in Dynamic Stochastic Portfolio Optimization","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":[],"primary_cat":"q-fin.PM","authors_text":"Daniel Sevcovic, Sona Kilianova","submitted_at":"2018-10-27T08:47:36Z","abstract_excerpt":"In this paper we investigate the expected terminal utility maximization approach for a dynamic stochastic portfolio optimization problem. We solve it numerically by solving an evolutionary Hamilton-Jacobi-Bellman equation which is transformed by means of the Riccati transformation. We examine the dependence of the results on the shape of a chosen utility function in regard to the associated risk aversion level. We define the\n  Conditional value-at-risk deviation ($CVaRD$) based Sharpe ratio for measuring risk-adjusted performance of a dynamic portfolio. We compute optimal strategies for a port"},"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":"1810.11619","kind":"arxiv","version":1},"metadata":{"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.PM","submitted_at":"2018-10-27T08:47:36Z","cross_cats_sorted":[],"title_canon_sha256":"84fadaa8e8eaf2fef0cfc7e14bbe42c415ca8396d5b08ac28aea5e3ff388dde9","abstract_canon_sha256":"2d518697438256677ced6d481af738cc7fb2d778f2b4d09205ec982d1525de0a"},"schema_version":"1.0"},"receipt":{"kind":"pith_receipt","key_id":"pith-v1-2026-05","algorithm":"ed25519","signed_at":"2026-05-18T00:02:08.026492Z","signature_b64":"zd/GZLFF+IcWcHA7mA5EZtoGOcUVV+AjLIo/7HPo3lZfTbBFKfOkbgTqMs7+kc6MglmAJduRtA9VXUzpKWkUDA==","signed_message":"canonical_sha256_bytes","builder_version":"pith-number-builder-2026-05-17-v1","receipt_version":"0.3","canonical_sha256":"8a4fade81383614deb62cfc793c795bf70f6008da19d0215c32da4e01568c853","last_reissued_at":"2026-05-18T00:02:08.025725Z","signature_status":"signed_v1","first_computed_at":"2026-05-18T00:02:08.025725Z","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54"},"graph_snapshot":{"paper":{"title":"Expected Utility Maximization and Conditional Value-at-Risk Deviation-based Sharpe Ratio in Dynamic Stochastic Portfolio Optimization","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":[],"primary_cat":"q-fin.PM","authors_text":"Daniel Sevcovic, Sona Kilianova","submitted_at":"2018-10-27T08:47:36Z","abstract_excerpt":"In this paper we investigate the expected terminal utility maximization approach for a dynamic stochastic portfolio optimization problem. We solve it numerically by solving an evolutionary Hamilton-Jacobi-Bellman equation which is transformed by means of the Riccati transformation. We examine the dependence of the results on the shape of a chosen utility function in regard to the associated risk aversion level. We define the\n  Conditional value-at-risk deviation ($CVaRD$) based Sharpe ratio for measuring risk-adjusted performance of a dynamic portfolio. We compute optimal strategies for a port"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1810.11619","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":"1810.11619","created_at":"2026-05-18T00:02:08.025869+00:00"},{"alias_kind":"arxiv_version","alias_value":"1810.11619v1","created_at":"2026-05-18T00:02:08.025869+00:00"},{"alias_kind":"doi","alias_value":"10.48550/arxiv.1810.11619","created_at":"2026-05-18T00:02:08.025869+00:00"},{"alias_kind":"pith_short_12","alias_value":"RJH232ATQNQU","created_at":"2026-05-18T12:32:50.500415+00:00"},{"alias_kind":"pith_short_16","alias_value":"RJH232ATQNQU323C","created_at":"2026-05-18T12:32:50.500415+00:00"},{"alias_kind":"pith_short_8","alias_value":"RJH232AT","created_at":"2026-05-18T12:32:50.500415+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/RJH232ATQNQU323CZ7DZHR4VX5","json":"https://pith.science/pith/RJH232ATQNQU323CZ7DZHR4VX5.json","graph_json":"https://pith.science/api/pith-number/RJH232ATQNQU323CZ7DZHR4VX5/graph.json","events_json":"https://pith.science/api/pith-number/RJH232ATQNQU323CZ7DZHR4VX5/events.json","paper":"https://pith.science/paper/RJH232AT"},"agent_actions":{"view_html":"https://pith.science/pith/RJH232ATQNQU323CZ7DZHR4VX5","download_json":"https://pith.science/pith/RJH232ATQNQU323CZ7DZHR4VX5.json","view_paper":"https://pith.science/paper/RJH232AT","resolve_alias":"https://pith.science/api/pith-number/resolve?arxiv=1810.11619&json=true","fetch_graph":"https://pith.science/api/pith-number/RJH232ATQNQU323CZ7DZHR4VX5/graph.json","fetch_events":"https://pith.science/api/pith-number/RJH232ATQNQU323CZ7DZHR4VX5/events.json","actions":{"anchor_timestamp":"https://pith.science/pith/RJH232ATQNQU323CZ7DZHR4VX5/action/timestamp_anchor","attest_storage":"https://pith.science/pith/RJH232ATQNQU323CZ7DZHR4VX5/action/storage_attestation","attest_author":"https://pith.science/pith/RJH232ATQNQU323CZ7DZHR4VX5/action/author_attestation","sign_citation":"https://pith.science/pith/RJH232ATQNQU323CZ7DZHR4VX5/action/citation_signature","submit_replication":"https://pith.science/pith/RJH232ATQNQU323CZ7DZHR4VX5/action/replication_record"}},"created_at":"2026-05-18T00:02:08.025869+00:00","updated_at":"2026-05-18T00:02:08.025869+00:00"}