Free energy-entropy duality reformulates benchmarked risk-sensitive investment as a linear-quadratic-Gaussian game, yielding quadratic value functions and explicit affine optimal controls interpretable as fractional Kelly strategies.
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Risk-Sensitive Investment Management via Free Energy-Entropy Duality
Free energy-entropy duality reformulates benchmarked risk-sensitive investment as a linear-quadratic-Gaussian game, yielding quadratic value functions and explicit affine optimal controls interpretable as fractional Kelly strategies.