cs.AI updates on arXiv.org 07月25日 12:28
HARLF: Hierarchical Reinforcement Learning and Lightweight LLM-Driven Sentiment Integration for Financial Portfolio Optimization
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本文提出一种新的投资组合优化分层框架,融合LLM与DRL技术,整合金融新闻情感信号和市场指标,实现高稳定性与高效收益,年化收益率为26%,胜过市场基准。

arXiv:2507.18560v1 Announce Type: cross Abstract: This paper presents a novel hierarchical framework for portfolio optimization, integrating lightweight Large Language Models (LLMs) with Deep Reinforcement Learning (DRL) to combine sentiment signals from financial news with traditional market indicators. Our three-tier architecture employs base RL agents to process hybrid data, meta-agents to aggregate their decisions, and a super-agent to merge decisions based on market data and sentiment analysis. Evaluated on data from 2018 to 2024, after training on 2000-2017, the framework achieves a 26% annualized return and a Sharpe ratio of 1.2, outperforming equal-weighted and S&P 500 benchmarks. Key contributions include scalable cross-modal integration, a hierarchical RL structure for enhanced stability, and open-source reproducibility.

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投资组合优化 分层框架 深度学习
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