{"id":"https://openalex.org/W4415930793","doi":"https://doi.org/10.3390/info16110961","title":"Modular Reinforcement Learning for Multi-Market Portfolio Optimization","display_name":"Modular Reinforcement Learning for Multi-Market Portfolio Optimization","publication_year":2025,"publication_date":"2025-11-05","ids":{"openalex":"https://openalex.org/W4415930793","doi":"https://doi.org/10.3390/info16110961"},"language":"en","primary_location":{"id":"doi:10.3390/info16110961","is_oa":true,"landing_page_url":"https://doi.org/10.3390/info16110961","pdf_url":"https://www.mdpi.com/2078-2489/16/11/961/pdf?version=1762350344","source":{"id":"https://openalex.org/S4210219776","display_name":"Information","issn_l":"2078-2489","issn":["2078-2489"],"is_oa":true,"is_in_doaj":true,"is_core":true,"host_organization":"https://openalex.org/P4310310987","host_organization_name":"Multidisciplinary Digital Publishing Institute","host_organization_lineage":["https://openalex.org/P4310310987"],"host_organization_lineage_names":["Multidisciplinary Digital Publishing Institute"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Information","raw_type":"journal-article"},"type":"article","indexed_in":["crossref","doaj"],"open_access":{"is_oa":true,"oa_status":"gold","oa_url":"https://www.mdpi.com/2078-2489/16/11/961/pdf?version=1762350344","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5036346650","display_name":"Firdaous Khemlichi","orcid":null},"institutions":[{"id":"https://openalex.org/I81605866","display_name":"Sidi Mohamed Ben Abdellah University","ror":"https://ror.org/04efg9a07","country_code":"MA","type":"education","lineage":["https://openalex.org/I81605866"]}],"countries":["MA"],"is_corresponding":true,"raw_author_name":"Firdaous Khemlichi","raw_affiliation_strings":["Laboratory of Intelligent Systems, Georesources & Renewable Energies (SIGER), University Sidi Mohamed Ben Abdellah, Fez 30000, Morocco"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Laboratory of Intelligent Systems, Georesources & Renewable Energies (SIGER), University Sidi Mohamed Ben Abdellah, Fez 30000, Morocco","institution_ids":["https://openalex.org/I81605866"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5025179075","display_name":"Youness Idrissi Khamlichi","orcid":null},"institutions":[{"id":"https://openalex.org/I81605866","display_name":"Sidi Mohamed Ben Abdellah University","ror":"https://ror.org/04efg9a07","country_code":"MA","type":"education","lineage":["https://openalex.org/I81605866"]}],"countries":["MA"],"is_corresponding":false,"raw_author_name":"Youness Idrissi Khamlichi","raw_affiliation_strings":["Laboratory of Intelligent Systems, Georesources & Renewable Energies (SIGER), University Sidi Mohamed Ben Abdellah, Fez 30000, Morocco"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Laboratory of Intelligent Systems, Georesources & Renewable Energies (SIGER), University Sidi Mohamed Ben Abdellah, Fez 30000, Morocco","institution_ids":["https://openalex.org/I81605866"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5063240324","display_name":"Safae Elhaj Ben Ali","orcid":"https://orcid.org/0000-0002-9496-7057"},"institutions":[{"id":"https://openalex.org/I81605866","display_name":"Sidi Mohamed Ben Abdellah University","ror":"https://ror.org/04efg9a07","country_code":"MA","type":"education","lineage":["https://openalex.org/I81605866"]}],"countries":["MA"],"is_corresponding":false,"raw_author_name":"Safae Elhaj Ben Ali","raw_affiliation_strings":["Laboratory of Intelligent Systems, Georesources & Renewable Energies (SIGER), University Sidi Mohamed Ben Abdellah, Fez 30000, Morocco"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Laboratory of Intelligent Systems, Georesources & Renewable Energies (SIGER), University Sidi Mohamed Ben Abdellah, Fez 30000, Morocco","institution_ids":["https://openalex.org/I81605866"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5036346650"],"corresponding_institution_ids":["https://openalex.org/I81605866"],"apc_list":{"value":1400,"currency":"CHF","value_usd":1515},"apc_paid":{"value":1400,"currency":"CHF","value_usd":1515},"fwci":0.0,"has_fulltext":true,"cited_by_count":0,"citation_normalized_percentile":{"value":0.36113252,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":null,"biblio":{"volume":"16","issue":"11","first_page":"961","last_page":"961"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.4025999903678894,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.4025999903678894,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11326","display_name":"Stock Market Forecasting Methods","score":0.241799995303154,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12101","display_name":"Advanced Bandit Algorithms Research","score":0.19629999995231628,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.7091000080108643},{"id":"https://openalex.org/keywords/reinforcement-learning","display_name":"Reinforcement learning","score":0.6384999752044678},{"id":"https://openalex.org/keywords/portfolio-optimization","display_name":"Portfolio optimization","score":0.6195999979972839},{"id":"https://openalex.org/keywords/modular-design","display_name":"Modular design","score":0.5145999789237976},{"id":"https://openalex.org/keywords/robustness","display_name":"Robustness (evolution)","score":0.4399999976158142},{"id":"https://openalex.org/keywords/equity","display_name":"Equity (law)","score":0.4230000078678131},{"id":"https://openalex.org/keywords/limiting","display_name":"Limiting","score":0.37549999356269836},{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.357699990272522}],"concepts":[{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.7091000080108643},{"id":"https://openalex.org/C97541855","wikidata":"https://www.wikidata.org/wiki/Q830687","display_name":"Reinforcement learning","level":2,"score":0.6384999752044678},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.6281999945640564},{"id":"https://openalex.org/C202655437","wikidata":"https://www.wikidata.org/wiki/Q7231728","display_name":"Portfolio optimization","level":3,"score":0.6195999979972839},{"id":"https://openalex.org/C101468663","wikidata":"https://www.wikidata.org/wiki/Q1620158","display_name":"Modular design","level":2,"score":0.5145999789237976},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.4648999869823456},{"id":"https://openalex.org/C63479239","wikidata":"https://www.wikidata.org/wiki/Q7353546","display_name":"Robustness (evolution)","level":3,"score":0.4399999976158142},{"id":"https://openalex.org/C199728807","wikidata":"https://www.wikidata.org/wiki/Q2578557","display_name":"Equity (law)","level":2,"score":0.4230000078678131},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.3917999863624573},{"id":"https://openalex.org/C188198153","wikidata":"https://www.wikidata.org/wiki/Q1613840","display_name":"Limiting","level":2,"score":0.37549999356269836},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.357699990272522},{"id":"https://openalex.org/C193254401","wikidata":"https://www.wikidata.org/wiki/Q2160088","display_name":"Robust optimization","level":2,"score":0.3555000126361847},{"id":"https://openalex.org/C51485801","wikidata":"https://www.wikidata.org/wiki/Q16966861","display_name":"Efficient frontier","level":3,"score":0.35359999537467957},{"id":"https://openalex.org/C177606310","wikidata":"https://www.wikidata.org/wiki/Q5674297","display_name":"Adaptability","level":2,"score":0.3522999882698059},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.3361999988555908},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.31949999928474426},{"id":"https://openalex.org/C196083921","wikidata":"https://www.wikidata.org/wiki/Q7915758","display_name":"Variance (accounting)","level":2,"score":0.3050999939441681},{"id":"https://openalex.org/C74510933","wikidata":"https://www.wikidata.org/wiki/Q1936145","display_name":"Project portfolio management","level":3,"score":0.3043000102043152},{"id":"https://openalex.org/C179518139","wikidata":"https://www.wikidata.org/wiki/Q5140297","display_name":"Coding (social sciences)","level":2,"score":0.3012999892234802},{"id":"https://openalex.org/C137836250","wikidata":"https://www.wikidata.org/wiki/Q984063","display_name":"Optimization problem","level":2,"score":0.2973000109195709},{"id":"https://openalex.org/C186027771","wikidata":"https://www.wikidata.org/wiki/Q4008379","display_name":"Valuation (finance)","level":2,"score":0.2856999933719635},{"id":"https://openalex.org/C119857082","wikidata":"https://www.wikidata.org/wiki/Q2539","display_name":"Machine learning","level":1,"score":0.27379998564720154}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.3390/info16110961","is_oa":true,"landing_page_url":"https://doi.org/10.3390/info16110961","pdf_url":"https://www.mdpi.com/2078-2489/16/11/961/pdf?version=1762350344","source":{"id":"https://openalex.org/S4210219776","display_name":"Information","issn_l":"2078-2489","issn":["2078-2489"],"is_oa":true,"is_in_doaj":true,"is_core":true,"host_organization":"https://openalex.org/P4310310987","host_organization_name":"Multidisciplinary Digital Publishing Institute","host_organization_lineage":["https://openalex.org/P4310310987"],"host_organization_lineage_names":["Multidisciplinary Digital Publishing Institute"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Information","raw_type":"journal-article"},{"id":"pmh:oai:doaj.org/article:5bba770ea7af483c97fbfe8ffc13a742","is_oa":true,"landing_page_url":"https://doaj.org/article/5bba770ea7af483c97fbfe8ffc13a742","pdf_url":null,"source":{"id":"https://openalex.org/S4306401280","display_name":"DOAJ (DOAJ: Directory of Open Access Journals)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by-sa","license_id":"https://openalex.org/licenses/cc-by-sa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Information, Vol 16, Iss 11, p 961 (2025)","raw_type":"article"}],"best_oa_location":{"id":"doi:10.3390/info16110961","is_oa":true,"landing_page_url":"https://doi.org/10.3390/info16110961","pdf_url":"https://www.mdpi.com/2078-2489/16/11/961/pdf?version=1762350344","source":{"id":"https://openalex.org/S4210219776","display_name":"Information","issn_l":"2078-2489","issn":["2078-2489"],"is_oa":true,"is_in_doaj":true,"is_core":true,"host_organization":"https://openalex.org/P4310310987","host_organization_name":"Multidisciplinary Digital Publishing Institute","host_organization_lineage":["https://openalex.org/P4310310987"],"host_organization_lineage_names":["Multidisciplinary Digital Publishing Institute"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Information","raw_type":"journal-article"},"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"pdf":true,"grobid_xml":false},"content_urls":{"pdf":"https://content.openalex.org/works/W4415930793.pdf"},"referenced_works_count":34,"referenced_works":["https://openalex.org/W1537066827","https://openalex.org/W1647779468","https://openalex.org/W1995834279","https://openalex.org/W2031355801","https://openalex.org/W2109122936","https://openalex.org/W2117899923","https://openalex.org/W2119657026","https://openalex.org/W2145339207","https://openalex.org/W2153580489","https://openalex.org/W2169015875","https://openalex.org/W2344786740","https://openalex.org/W2486563685","https://openalex.org/W2972925412","https://openalex.org/W3043617920","https://openalex.org/W3121212608","https://openalex.org/W3122944446","https://openalex.org/W3123675609","https://openalex.org/W3124443460","https://openalex.org/W4239488419","https://openalex.org/W4386953268","https://openalex.org/W4387936189","https://openalex.org/W4392895374","https://openalex.org/W4394573649","https://openalex.org/W4402172889","https://openalex.org/W4403010765","https://openalex.org/W4405321085","https://openalex.org/W4408219430","https://openalex.org/W4409635594","https://openalex.org/W4410039590","https://openalex.org/W4410742123","https://openalex.org/W4410866785","https://openalex.org/W4411535800","https://openalex.org/W4411568332","https://openalex.org/W4412929487"],"related_works":[],"abstract_inverted_index":{"Most":[0],"reinforcement":[1],"learning":[2],"(RL)":[3],"methods":[4],"for":[5,77,191],"portfolio":[6,193],"optimization":[7],"remain":[8],"limited":[9],"to":[10,22,47],"single":[11,15],"markets":[12],"and":[13,25,64,82,111,121,140,146,165,175,187],"a":[14,31,184],"algorithmic":[16],"paradigm,":[17],"which":[18],"restricts":[19],"their":[20],"adaptability":[21],"regime":[23],"shifts":[24],"heterogeneous":[26],"conditions.":[27],"This":[28],"paper":[29],"introduces":[30],"generalized":[32],"version":[33],"of":[34,172,178],"the":[35,155,169,176,179],"Modular":[36],"Portfolio":[37,138],"Learning":[38],"System":[39],"(MPLS),":[40],"extending":[41],"beyond":[42],"its":[43,70],"initial":[44],"PPO":[45],"backbone":[46],"integrate":[48],"four":[49],"RL":[50],"algorithms:":[51],"Proximal":[52],"Policy":[53,61],"Optimization":[54],"(PPO),":[55],"Deep":[56,59],"Q-Network":[57],"(DQN),":[58],"Deterministic":[60],"Gradient":[62],"(DDPG),":[63],"Soft":[65],"Actor-Critic":[66],"(SAC).":[67],"Building":[68],"on":[69,102],"modular":[71],"design,":[72],"MPLS":[73,98,128,182],"leverages":[74],"specialized":[75],"components":[76],"sentiment":[78],"analysis,":[79],"volatility":[80],"forecasting,":[81],"structural":[83],"dependency":[84],"modeling,":[85],"whose":[86],"signals":[87],"are":[88],"fused":[89],"within":[90],"an":[91],"attention-based":[92],"decision":[93],"framework.":[94,180],"Unlike":[95],"prior":[96],"approaches,":[97],"is":[99],"evaluated":[100],"independently":[101],"three":[103],"major":[104],"equity":[105],"indices":[106],"(S&P":[107],"500,":[108],"DAX":[109],"30,":[110],"FTSE":[112],"100)":[113],"across":[114],"diverse":[115],"regimes":[116],"including":[117],"stable,":[118],"crisis,":[119],"recovery,":[120],"sideways":[122],"phases.":[123],"Experimental":[124],"results":[125],"show":[126],"that":[127],"consistently":[129],"achieved":[130],"higher":[131],"Sharpe":[132],"ratios\u2014typically":[133],"+40\u201370%":[134],"over":[135],"Minimum":[136],"Variance":[137],"(MVP)":[139],"Risk":[141],"Parity":[142],"(RP)\u2014while":[143],"limiting":[144],"drawdowns":[145],"Conditional":[147],"Value-at-Risk":[148],"(CVaR)":[149],"during":[150],"stress":[151],"periods":[152],"such":[153],"as":[154],"COVID-19":[156],"crash.":[157],"Turnover":[158],"levels":[159],"remained":[160],"moderate,":[161],"confirming":[162],"cost-awareness.":[163],"Ablation":[164],"variance":[166],"analyses":[167],"highlight":[168],"distinct":[170],"contribution":[171],"each":[173],"module":[174],"robustness":[177],"Overall,":[181],"represents":[183],"modular,":[185],"resilient,":[186],"practically":[188],"relevant":[189],"framework":[190],"risk-aware":[192],"optimization.":[194]},"counts_by_year":[],"updated_date":"2026-05-06T08:25:59.206177","created_date":"2025-11-05T00:00:00"}