  Financial portfolio management (PM) is one of the most applicable problems in
reinforcement learning (RL) owing to its sequential decision-making nature.
However, existing RL-based approaches rarely focus on scalability or
reusability to adapt to the ever-changing markets. These approaches are rigid
and unscalable to accommodate the varying number of assets of portfolios and
increasing need for heterogeneous data. Also, RL agents in the existing systems
are ad-hoc trained and hardly reusable for different portfolios. To confront
the above problems, a modular design is desired for the systems to be
compatible with reusable asset-dedicated agents. In this paper, we propose a
multi-agent RL-based system for PM (MSPM). MSPM involves two types of
asynchronously-updated modules: Evolving Agent Module (EAM) and Strategic Agent
Module (SAM). An EAM is an information-generating module with a DQN agent, and
it receives heterogeneous data and generates signal-comprised information for a
particular asset. An SAM is a decision-making module with a PPO agent for
portfolio optimization, and it connects to EAMs to reallocate the assets in a
portfolio. Trained EAMs can be connected to any SAM at will. With its
modularized architecture, the multi-step condensation of volatile market
information, and the reusable design of EAM, MSPM simultaneously addresses the
two challenges in RL-based PM: scalability and reusability. Experiments on
8-year U.S. stock market data prove the effectiveness of MSPM in profit
accumulation by its outperformance over five baselines in terms of accumulated
rate of return (ARR), daily rate of return, and Sortino ratio. MSPM improves
ARR by at least 186.5% compared to CRP, a widely-used PM strategy. To validate
the indispensability of EAM, we back-test and compare MSPMs on four portfolios.
EAM-enabled MSPMs improve ARR by at least 1341.8% compared to EAM-disabled
MSPMs.
