Deep Reinforcement Learning Portfolio Optimization Using Macroeconomic Indicators and Market Data

DOI

10.2991/978-94-6463-916-2_74How to use a DOI?

Keywords

Deep Reinforcement Learning; Portfolio Optimization; Macroeconomic Indicators; Risk Management; Intelligent Finance

Abstract

This paper proposes a novel deep reinforcement learning (DRL) framework for portfolio optimization that integrates macroeconomic indicators with financial market data. Unlike traditional mean–variance and factor models, which provide static solutions, the proposed approach constructs an enriched state space combining asset returns, volatilities, and bond yields with macroeconomic variables such as consumer price index (CPI), GDP growth, and interest rates. The action space is defined as dynamic portfolio weight adjustments across multiple asset classes, while the reward function incorporates risk-adjusted measures to balance profitability and stability. An improved actor–critic algorithm, extending Proximal Policy Optimization (PPO) with a macro-factor attention mechanism, is employed to capture the influence of systemic drivers on asset performance. Experimental evaluation using multi-year market and macroeconomic data demonstrates that the proposed DRL method achieves superior cumulative returns, reduced volatility, and enhanced Sharpe ratios compared with benchmark models. These findings highlight the effectiveness of integrating macroeconomic information into reinforcement learning frameworks, providing a robust and adaptive pathway for intelligent financial decision-making.

Copyright

© 2025 The Author(s)

Open Access

Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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TY  - CONF
AU  - Weiyi Qin
PY  - 2025
DA  - 2025/12/22
TI  - Deep Reinforcement Learning Portfolio Optimization Using Macroeconomic Indicators and Market Data
BT  - Proceedings of the 2025 4th International Conference on Public Service, Economic Management and Sustainable Development (PESD 2025)
PB  - Atlantis Press
SP  - 680
EP  - 685
SN  - 2352-5428
UR  - https://doi.org/10.2991/978-94-6463-916-2_74
DO  - 10.2991/978-94-6463-916-2_74
ID  - Qin2025
ER  -