2016/02/17 by Francesca Biagini, Biagini, Francesca, Jacopo Mancin +1
Decision Sciences · Economics, Econometrics and Finance · #Economic theories and models #FOS: Economics and business #Mathematical Finance (q-fin.MF) #Risk and Portfolio Optimization #Stochastic processes and financial applications
paper · pdf · doi:10.48550/arxiv.1602.05471
openalex publication_date 2016/02/17 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
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.