Financial asset price bubbles under model uncertainty

dc.date.accessioned	2018-09-18T12:38:06Z
dc.date.available	2018-09-18T12:38:06Z
dc.date.created	2018-03-23T14:23:56Z
dc.date.issued	2017
dc.identifier.citation	Biagini, Francesca Mancin, Jacopo . Financial asset price bubbles under model uncertainty. Probability, Uncertainty and Quantitative Risk. 2017
dc.identifier.uri	http://hdl.handle.net/10852/64801
dc.description.abstract	We study the concept of financial bubbles in a market model endowed with a set P of probability measures, typically mutually singular to each other. In this setting, we investigate a dynamic version of robust superreplication, which we use to introduce the notions of bubble and robust fundamental value in a way consistent with the existing literature in the classical case P={P}. Finally, we provide concrete examples illustrating our results.	en_US
dc.language	EN
dc.rights	Attribution 4.0 International
dc.rights.uri	https://creativecommons.org/licenses/by/4.0/
dc.title	Financial asset price bubbles under model uncertainty	en_US
dc.type	Journal article	en_US
dc.creator.author	Biagini, Francesca
dc.creator.author	Mancin, Jacopo
cristin.unitcode	185,15,13,0
cristin.unitname	Matematisk institutt
cristin.ispublished	true
cristin.fulltext	postprint
dc.identifier.cristin	1575385
dc.identifier.bibliographiccitation	info:ofi/fmt:kev:mtx:ctx&ctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.jtitle=Probability, Uncertainty and Quantitative Risk&rft.volume=&rft.spage=&rft.date=2017
dc.identifier.jtitle	Probability, Uncertainty and Quantitative Risk
dc.identifier.doi	http://dx.doi.org/10.1186/s41546-017-0026-3
dc.identifier.urn	URN:NBN:no-67334
dc.type.document	Tidsskriftartikkel	en_US
dc.type.peerreviewed	Peer reviewed
dc.source.issn	2367-0126
dc.identifier.fulltext	Fulltext https://www.duo.uio.no/bitstream/handle/10852/64801/1/robust_bubbles.pdf
dc.type.version	AcceptedVersion