Dynamic Portfolio Optimization with Data-Aware Multi-Agent Reinforcement Learning and Adaptive Risk Control

This study addresses the challenges of market non-stationarity, risk uncertainty, and dynamic inter-asset relationships in dynamic portfolio optimization by proposing an adaptive investment decision model based on multi-agent reinforcement learning. The research constructs a multi-agent architecture that combines centralized training with decentralized execution, allowing each agent to perform local strategy optimization while sharing global information to achieve a dynamic balance between return and risk. The model embeds multi-dimensional features such as market states, price fluctuations, trading volume, and risk indicators into the reinforcement learning framework, where a reward function drives policy iteration and enhances learning efficiency and decision stability in complex environments. A dynamic risk penalty mechanism and return adjustment term are introduced to effectively suppress excessive risk-taking behavior under high volatility and improve system robustness. Experimental results show that the proposed model outperforms traditional reinforcement learning methods in annualized return, maximum drawdown, Sharpe ratio, and Hit Ratio, maintaining strong return stability and risk control in multi-asset and multi-timescale trading environments. The findings confirm the effectiveness of multi-agent collaborative learning in dynamic asset allocation and risk-constrained optimization, providing methodological support for building intelligent and data-driven investment decision systems.