From the third episode: we're down at the Riverfront now, down by the Mississippi.

This is before gentrification, in case you're curious. Don't think anyone at the time believed this would ever be a place for condos and museums. That's probably what saved it - if they'd realized in the 50s and 60s what they could do with the riverfront, they would have done it, and the results would have been rather barren.