Chicago as setting

Bellow was born in Chicago and tries to have Augie March mimic the Chicago of his childhood. Hence the setting in Chicago.

Though not born in Chicago, Bellow grew up in America's second city and knew it thoroughly as the perfect setting for Augie's development, as a place of tremendous vitality and human complexity, during a period -- the Depression -- when it was knocked bacck on its heels. His coming-of-age tale is set in a Chicago that is by turns seamy, noble, magnanimous, corrupt, elegant, dissipated, radiant, petty: in short, it is the perfect playground by the lake of the human condition.

Agreed