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Abstract This study analyzes robust strategic asset allocation under a quadratic security market model with stochastic volatility and inflation rates assuming ``age-dependent robust utility'' in which relative ambiguity aversion is a decreasing function of age. We show that, unlike homothetic robust utility, age-dependent robust utility cannot be interpreted as homothetic stochastic differential utility. We consider the finite-time consumption-investment problem and derive a linear approximate optimal robust portfolio candidate decomposed into myopic, intertemporal hedging, and inflation-deflation hedging demands. Our numerical analysis of the approximate optimal allocation to the S\&P500 shows modest hump-shaped age effects, similar to the results of a previous empirical analysis, and that the upswing is due to the increase in myopic demand, while the downswing is due to the decrease in intertemporal hedging demand.
Kusuda et al. (Mon,) studied this question.