@techreport{oai:shiga-u.repo.nii.ac.jp:00013836,
 author = {Batbold, Bolorsuvd and Kikuchi, Kentaro and Kusuda, Koji},
 issue = {No.E-6},
 month = {Jan},
 note = {Technical Report, The global financial crisis leads to a growing awareness of theneed for robust dynamic investment control.  This study considersa consumption–investment problem for an investor with homotheticrobust utility under a quadratic security market model, in which allinflation rates, interest rates, and asset risk premiums and volatilitiesare stochastic and predictable. Homothetic robust utility is character-ized by investors’ relative risk aversion and “relative ambiguity aver-sion.” We show that the optimal portfolio is decomposed into the sumof myopic demand, intertemporal risk hedging demand, inflation riskdemand, and “intertemporal ambiguity hedging demand.” We obtaina loglinear approximate analytical solution to a nonlinear partial dif-ferential equation for the indirect utility function. The coefficients forthis solution are provided as a system of nonlinear algebraic equations.We also present an algorithm to solve this system numerically., Discussion Paper, Series E,( No. E-6), pp. 1-25},
 title = {Approximate Analytical Solution for Robust Consumption–Investment Problem under Quadratic Security Market Model},
 year = {2021}
}