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Robust Financial Bubbles

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  • Francesca Biagini
  • Jacopo Mancin

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.

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  • Francesca Biagini & Jacopo Mancin, 2016. "Robust Financial Bubbles," Papers 1602.05471, arXiv.org.
    • Handle: RePEc:arx:papers:1602.05471
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    References listed on IDEAS

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