Portfolio Reinforcement Learning with Scenario-Context Rollout

This study develops and evaluates a deep reinforcement learning framework for dynamic portfolio allocation across global equity markets. The Soft Actor-Critic algorithm is used to learn continuous portfolio weights within a Markov Decision Process, incorporating transaction costs, turnover penalties, and diversification constraints into the reward function. Five model configurations are compared, varying in reward formulation, policy structure (flat versus hierarchical Dirichlet), portfolio constraints, and temporal encoder (LSTM versus Transformer), and evaluated via walk-forward optimization across sixteen out-of-sample folds spanning 2003-2026 on the Nasdaq-100, Nikkei 225, and Euro Stoxx 50. Results show that RL strategies achieve competitive risk-adjusted performance primarily in the Euro Stoxx 50, where statistically significant abnormal returns are observed, but the central hypothesis is only partially confirmed: no strategy achieves statistically significant excess returns relative to Buy and Hold under HAC-robust inference across all markets. Regime analysis reveals that RL adds the most value during periods of elevated uncertainty, while ensemble aggregation across markets improves risk-adjusted performance and confirms the benefits of geographic diversification.

Portfolio optimization under uncertainty is inherently a multi-objective decision problem involving complex interactions among return, risk, market dynamics, and practical investment constraints. Existing reliability based portfolio optimization approaches primarily rely on static optimization frameworks and often fail to capture sequential decision making, tail risk, and market frictions such as transaction costs. To address these limitations, we propose a deep reinforcement learning framework for multi-objective reliability based portfolio optimization (MORP-DRL). The proposed framework jointly optimizes expected return and downside risk using three complementary risk measures: variance, Conditional Value-at-Risk (CVaR), and Entropic Value-at-Risk (EVaR). To model uncertainty and heavy-tailed market behavior, asset returns are represented using GARCH(1,1), Extreme Value Theory, and a t-copula dependence structure, while realistic scenarios are generated through quasi-Monte Carlo simulation. A Proximal Policy Optimization (PPO) based strategy is developed under practical constraints including transaction costs and portfolio bounds, and is benchmarked against NSGA-II. Experiments on ten global equity indices across pre-COVID, COVID, and post-COVID market regimes demonstrate that MORP-DRL achieves competitive risk-return performance, reduced downside risk during periods of market stress, and scalability to high-dimensional portfolio settings.

Training tool-using language models requires costly interaction, yet identical rewards within a rollout group provide no group-relative learning signal. We use reward disagreement to guide harness evaluation and the allocation of rollouts for policy training in Model Context Protocol (MCP) environments. We first introduce Discord, which tests harness edits using exact paired inference and decision-preserving early stopping: only disagreeing paired outcomes favor one harness over another. This insight motivates prospective allocation in BRACE (Bank-calibrated Rollout Allocation under Correlated Episodes). BRACE combines historical task evidence, uncertainty in task success rates, and a correlated reward model to forecast mixed-reward groups before allocating generation budget. Controlled harness experiments favor Discord, while live MCP experiments expose a retention-cost trade-off. At three Qwen3-VL model scales, BRACE exceeds the strongest plotted baseline peaks with fewer new training rollouts; historical-bank collection is counted separately. It also leads the compared methods on BFCL and NESTFUL without further training. Ablations probe the bank, estimator, and allocation score; prospective evaluation checks forecast calibration. These results support forecasting reward contrast before generation.