@techreport{oai:shiga-u.repo.nii.ac.jp:00014436,
 author = {Kikuchi, Kentaro and Kusuda, Kouji},
 issue = {No. E-21},
 month = {Feb},
 note = {Technical Report, This study considers a finite-time consumption-investment problem for investors with homothetic robust utility under the quadratic security market model with stochastic volatilities and inflation rates. This leads to a nonlinear nonhomogeneous partial differential equation for indirect utility. We propose a linear approximation method and derive the approximate optimal robust portfolio decomposed into myopic, intertemporal hedging, and inflation-deflation hedging demands. We also propose a method to estimate our quadratic security market model that achieves stability of optimal portfolio estimates. We then apply our estimation method to the two-factor quadratic security market model. Our numerical analysis shows that the market timing effects in the optimal robust allocation are significant and nonlinear and are mainly owing to inflation-deflation hedging demand., Discussion Paper, Series E, No. E-21, pp. 1-31},
 title = {A Linear Approximate Robust Strategic Asset Allocation with Inflation-Deflation Hedging Demand},
 year = {2023}
}