An Entropic Factor Model for Robust Portfolio Replication

By Argimiro Arratia, Henryk Gzyl

Published 2026-09-03

Everscope rating

1560.2

Relevance to quantitative trading

9 / 10

Implementation complexity

6 / 10

Reproducibility

4 / 5

About this paper

Methodology: Entropic Factor Model (EFM). Problem types: Portfolio Optimization, Optimization, Regression, Risk Management.

arXiv:2609.03552 · Paper rankings

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