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dc.contributor.author
Herdegen, Martin
dc.contributor.author
Schweizer, Martin
dc.date.accessioned
2017-06-11T21:44:26Z
dc.date.available
2017-06-11T21:44:26Z
dc.date.issued
2015-02-18
dc.identifier.other
10.2139/ssrn.2566815
dc.identifier.uri
http://hdl.handle.net/20.500.11850/108046
dc.description.abstract
We introduce a new and numéraire-independent approach for defining and analysing financial bubbles in general, incomplete markets. We define our concepts in an economically motivated way using only primal quantities like assets and trading strategies. We then derive dual characterisations involving numéraires and martingale measures and show that a market is (interesting) bubbly in our sense if and only if all possible valuation measures for all possible discounted asset prices always lead to strict local martingales. In contrast to other approaches for bubble definitions in incomplete markets, our notion of a bubble is robust in the sense that it does not depend on the choice of a particular risk-neutral measure. We illustrate our results and concepts by many explicit and concrete examples; these include an incomplete market which is (interesting) bubbly, an incomplete market where one valuation measure sees a bubble while a second does not, and a natural setup where bubble birth occurs endogenously.
dc.language.iso
en
dc.publisher
University of Geneva
dc.subject
Bubble
dc.subject
Incomplete financial market
dc.subject
Fundamental value
dc.subject
Strict local martingale
dc.subject
Numéraire
dc.subject
Viability
dc.subject
Efficiency
dc.subject
No dominance
dc.title
Economics-Based Financial Bubbles (and Why They Imply Strict Local Martingales)
dc.type
Working Paper
ethz.journal.title
Swiss Finance Institute Research Paper
ethz.journal.volume
15
ethz.journal.issue
5
ethz.size
46 p.
ethz.notes
Published online 21 February 2015.
ethz.identifier.nebis
005801385
ethz.publication.place
Geneva
ethz.publication.status
published
ethz.leitzahl
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::03658 - Schweizer, Martin / Schweizer, Martin
ethz.leitzahl.certified
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::03658 - Schweizer, Martin / Schweizer, Martin
ethz.date.deposited
2017-06-11T21:45:10Z
ethz.source
ECIT
ethz.identifier.importid
imp593653c771e6d34842
ethz.ecitpid
pub:168822
ethz.eth
yes
ethz.availability
Metadata only
ethz.rosetta.installDate
2017-07-18T18:33:47Z
ethz.rosetta.lastUpdated
2019-02-02T07:13:46Z
ethz.rosetta.versionExported
true
ethz.COinS
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