Regime-Adaptive Continual Learning for Portfolio Management
Not on the map. Why?
Abstract (arXiv)
Financial markets are inherently non-stationary, exhibiting frequent regime shifts and structural changes that render traditional Portfolio Management (PM) approaches ineffective. Existing remedies, such as rolling-window retraining and naive online fine-tuning, are hindered by high computational costs and insufficient knowledge utilization, respectively, resulting in low returns and limited adaptability. Continual learning (CL) offers a promising paradigm by enabling trading agents to accumulate and transfer knowledge across sequential tasks. In this paper, we propose Regime-aware Continual Adaptive Portfolio management (ReCAP), a novel framework that integrates CL into PM to address the challenges of dynamic financial environments. ReCAP employs an adaptive regime detection module to segment historical market data into variable-length regimes, enabling regime-specific learning of policy vectors and the construction of a policy library. During continual trading, a regime-gate module adaptively combines policy vectors from the library based on the current market state, facilitating rapid adaptation to newly detected regimes. Only the regime-gate and the current regime's policy vector are continually updated to preserve useful knowledge effectively. Extensive experiments on five real-world datasets demonstrate that ReCAP consistently outperforms popular baselines, achieving superior returns in long-term investment horizons and rapid adaptation to regime shifts.
Key facts. No citing papers in the map yet (data through 14 Oct 2026). Builds on 20 of its 53 references that are in the map. First posted on arXiv 29 May 2026.
Builds on
20 of 53 references.
References · 20
- 2017Proximal Policy Optimization Algorithmscited by 15,215
- 2018Soft Actor-Critic: Off-Policy Maximum Entropy Deep Reinforcement Learning with a Stochastic Actorcited by 4,885
- 2016Overcoming catastrophic forgetting in neural networkscited by 4,787
- 2016Asynchronous Methods for Deep Reinforcement Learningcited by 2,258
- 2018An Empirical Evaluation of Generic Convolutional and Recurrent Networks for Sequence Modelingcited by 1,476
- 2018Selective Experience Replay for Lifelong Learningcited by 241
- 2017A Deep Reinforcement Learning Framework for the Financial Portfolio Management Problemcited by 128
- 2021Continual World: A Robotic Benchmark For Continual Reinforcement Learningcited by 116
- 2023A Definition of Continual Reinforcement Learningcited by 101
- 2021FinRL: Deep Reinforcement Learning Framework to Automate Trading in Quantitative Financecited by 58
- 2020Reinforcement-Learning based Portfolio Management with Augmented Asset Movement Prediction Statescited by 55
- 2021CORA: Benchmarks, Baselines, and Metrics as a Platform for Continual Reinforcement Learning Agentscited by 38
8 more
- 2020Cost-Sensitive Portfolio Selection via Deep Reinforcement Learningcited by 21
- 2020Deep Stock Trading: A Hierarchical Reinforcement Learning Framework for Portfolio Optimization and Order Executioncited by 20
- 2025A Survey of Continual Reinforcement Learningcited by 18
- 2020MAPS: Multi-agent Reinforcement Learning-based Portfolio Management Systemcited by 15
- 2021Deep Graph Convolutional Reinforcement Learning for Financial Portfolio Management -- DeepPocketcited by 13
- 2022Dynamic Dialogue Policy for Continual Reinforcement Learningcited by 12
- 2023Reinforcement Learning with Maskable Stock Representation for Portfolio Management in Customizable Stock Poolscited by 7
- 2021Behavior Self-Organization Supports Task Inference for Continual Robot Learningcited by 4
Built on by
Not cited yet.