@techreport{oai:shiga-u.repo.nii.ac.jp:00013818,
 author = {Batbold, Bolorsuvd and Kikuchi, Kentaro and Kusuda, Koji},
 issue = {No. E-5},
 month = {Nov},
 note = {Technical Report, There exists strong empirical evidence that all inflation rates, in-terest rates, market price of risk, and return volatilities of assets arestochastic  and  predictable,  which  is  now  a  stylized  fact.   However,to the best of our knowledge,  existing models providing solutions toconsumption–investment  problems  do  not  consider  all  of  the  afore-mentioned  stochastic  processes,  leading  to  substantially  different  re-sults depending on the model structure.  We consider a consumption–investment problem for a long-term investor with constant relative riskaversion  utility,  under  a  quadratic  security  market  model,  in  whichall  of  the  above-mentioned  processes  are  stochastic  and  predictable.We solve a nonhomogeneous linear partial differential equation for theindirect  utility  function,  and  derive  a  semianalytical  solution.   Thisstudy obtains the optimal portfolio decomposed into the sum of my-opic demand,  intertemporal hedging demand,  and “inflation hedgingdemand,”  and presents that all three types of demand are nonlinearfunctions  of  the  state  vector.   The  results  highlight  that  the  timingaspect is more important than our assumption., Discussion Paper, Series E,( No. E-5), pp. 1-25},
 title = {Semi-Analytical Solution for Consumption and Investment Problem under Quadratic Security Market Model with Inflation Risk},
 year = {2020}
}