SAMP-HDRL: Segmented Allocation with Momentum-Adjusted Utility for Multi-agent Portfolio Management via Hierarchical Deep Reinforcement Learning
This addresses portfolio management for investors in volatile financial markets, offering an incremental improvement through a novel hierarchical multi-agent architecture.
The paper tackles portfolio optimization in non-stationary markets by proposing SAMP-HDRL, a hierarchical deep reinforcement learning framework with dynamic asset grouping and utility-based capital allocation. Backtests show it outperforms 18 baselines, achieving at least 5% higher Return, Sharpe ratio, and Sortino ratio, with larger gains in turbulent markets.
Portfolio optimization in non-stationary markets is challenging due to regime shifts, dynamic correlations, and the limited interpretability of deep reinforcement learning (DRL) policies. We propose a Segmented Allocation with Momentum-Adjusted Utility for Multi-agent Portfolio Management via Hierarchical Deep Reinforcement Learning (SAMP-HDRL). The framework first applies dynamic asset grouping to partition the market into high-quality and ordinary subsets. An upper-level agent extracts global market signals, while lower-level agents perform intra-group allocation under mask constraints. A utility-based capital allocation mechanism integrates risky and risk-free assets, ensuring coherent coordination between global and local decisions. backtests across three market regimes (2019--2021) demonstrate that SAMP-HDRL consistently outperforms nine traditional baselines and nine DRL benchmarks under volatile and oscillating conditions. Compared with the strongest baseline, our method achieves at least 5\% higher Return, 5\% higher Sharpe ratio, 5\% higher Sortino ratio, and 2\% higher Omega ratio, with substantially larger gains observed in turbulent markets. Ablation studies confirm that upper--lower coordination, dynamic clustering, and capital allocation are indispensable to robustness. SHAP-based interpretability further reveals a complementary ``diversified + concentrated'' mechanism across agents, providing transparent insights into decision-making. Overall, SAMP-HDRL embeds structural market constraints directly into the DRL pipeline, offering improved adaptability, robustness, and interpretability in complex financial environments.