Foresee to Trade: Forecast-Augmented Policy Optimization for Portfolio Management

원문 초록

Online investment services must translate asset opportunities into investment outcomes for users' accounts, yet the same market opportunity can warrant different account actions. We study how supervision from future asset opportunities can strengthen account-level trading decisions and propose Forecast-Augmented Relative Policy Optimization (FRPO). FRPO separately supervises asset opportunities and account decisions through a jointly learned representation: a Financial State Head (FSH) learns future relative-return targets to provide asset-level opportunity supervision, while Same-Path Group-Relative Optimization compares trading trajectories under the same market path and initial account to provide account-level relative-outcome supervision. An Adaptive Gate coordinates auxiliary supervision using predictive variance and gradient alignment. FSH is used only during training; inference uses the encoder and policy for trading. Across DJIA30, TOPIX Core30, and three investment-style portfolios, ten-seed evaluations show that FRPO achieves the highest mean cumulative and annualized returns among the compared methods in all five settings. These results support strengthening investment agents' trading decisions through joint supervision from asset opportunities and trading outcomes.