Risk-Sensitive Investment Management via Free Energy–Entropy Duality

By Sébastien Lleo, Wolfgang Runggaldier

Published 2026-04-28

Everscope rating

1796.2

Relevance to quantitative trading

9 / 10

Implementation complexity

6 / 10

Reproducibility

3 / 5

About this paper

Methodology: Free Energy–Entropy Duality for Risk-Sensitive Portfolio Optimization. Problem types: Portfolio Optimization, Risk Management, Optimization, Stochastic Differential Games, Benchmarked Asset Management.

arXiv:2604.15463 · Paper rankings

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