78 citations · 85 across the 10 of their papers we have counts for
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q-fin.PM2026
Reinforcement Learning for Risk-Sensitive Investment Management: a Free Energy--Entropy Duality Approach
Sebastien Lleo, Wolfgang Runggaldier
This paper develops a reinforcement-learning approach to continuous-time risk-sensitive benchmarked asset allocation in a partly model-based setting. The benchmarked problem does n…
q-fin.PM2026
Risk-Sensitive Investment Management via Free Energy-Entropy Duality
Sebastien Lleo, Wolfgang Runggaldier
We study a benchmarked risk-sensitive portfolio problem in a factor-based setting to bring together three strands of the literature: benchmarked risk-sensitive investment managemen…
q-fin.PM2026
Exploratory Randomization for Discrete-Time Risk-Sensitive Benchmarked Investment Management with Reinforcement Learning
Sebastien Lleo, Wolfgang Runggaldier
This paper bridges reinforcement learning (RL) and risk-sensitive stochastic control by introducing a tractable exploration mechanism for policy search in risk-sensitive portfolio…