Robust Financial Bubbles

Francesca Biagini and Jacopo Mancin

Papers from arXiv.org

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.

Date: 2016-02
New Economics Papers: this item is included in nep-fmk
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