Regime-Adaptive Continual Learning for Portfolio Management

Financial markets are inherently non-stationary, exhibiting frequent regime shifts and structural changes that render traditional Portfolio Management (PM) approaches ineffective. Existing remedies, such as rolling-window retraining and naive online fine-tuning, are hindered by high computational costs and insufficient knowledge utilization, respectively, resulting in low returns and limited adaptability. Continual learning (CL) offers a promising paradigm by enabling trading agents to accumulate and transfer knowledge across sequential tasks. In this paper, we propose \textbf{Re}gime-aware \textbf{C}ontinual \textbf{A}daptive \textbf{P}ortfolio management (\textbf{ReCAP}), a novel framework that integrates CL into PM to address the challenges of dynamic financial environments. ReCAP employs an adaptive regime detection module to segment historical market data into variable-length regimes, enabling regime-specific learning of policy vectors and the construction of a policy library. During continual trading, a regime-gate module adaptively combines policy vectors from the library based on the current market state, facilitating rapid adaptation to newly detected regimes. Only the regime-gate and the current regime's policy vector are continually updated to preserve useful knowledge effectively. Extensive experiments on five real-world datasets demonstrate that ReCAP consistently outperforms popular baselines, achieving superior returns in long-term investment horizons and rapid adaptation to regime shifts.

Action-Adaptive Continual Learning: Enabling Policy Generalization under Dynamic Action Spaces

Continual Learning (CL) is a powerful tool that enables agents to learn a sequence of tasks, accumulating knowledge learned in the past and using it for problem-solving or future task learning. However, existing CL methods often assume that the agent's capabilities remain static within dynamic environments, which doesn't reflect real-world scenarios where capabilities dynamically change. This paper introduces a new and realistic problem: Continual Learning with Dynamic Capabilities (CL-DC), posing a significant challenge for CL agents: How can policy generalization across different action spaces be achieved? Inspired by the cortical functions, we propose an Action-Adaptive Continual Learning framework (AACL) to address this challenge. Our framework decouples the agent's policy from the specific action space by building an action representation space. For a new action space, the encoder-decoder of action representations is adaptively fine-tuned to maintain a balance between stability and plasticity. Furthermore, we release a benchmark based on three environments to validate the effectiveness of methods for CL-DC. Experimental results demonstrate that our framework outperforms popular methods by generalizing the policy across action spaces.