Robust Financial Bubbles
Mathematical Finance
2016-02-18 v1
Abstract
We study the concept of financial bubble in a market model endowed with a set of probability measures, typically mutually singular to each other. In this setting we introduce the notions of robust bubble and robust fundamental value in a consistent way with the existing literature in the case a unique prior exists. The notion of no dominance is also investigated under the uncertainty framework. Finally, we provide concrete examples illustrating our results.
Keywords
Cite
@article{arxiv.1602.05471,
title = {Robust Financial Bubbles},
author = {Francesca Biagini and Jacopo Mancin},
journal= {arXiv preprint arXiv:1602.05471},
year = {2016}
}