Entropy Regularization under Bayesian Drift Uncertainty

We solve the entropy-regularized mean-variance portfolio problem under Bayesian drift uncertainty. Combining continuous-time Bayesian filtering with stochastic policy optimization, the main finding is negative: the two mechanisms are orthogonal. Posterior dynamics are policy independent, so entropy regularization cannot accelerate learning about the unknown drift. The mean control is identical to the deterministic Bayesian Markowitz feedback, and entropy enters only through policy variance. On the technical side, the optimal policy is Gaussian, the value function is quadratic in wealth, and the belief-dependent coefficients close in exponential form. The framework recovers both parent models as limiting cases.