Ergodic Markov equilibrium with incomplete markets and short sales
研究了允许卖空的递归交换经济，证明了存在具有不变遍历测度的平稳竞争均衡过程，为结构性资产定价模型的时间序列分析提供了理论基础。
This paper studies recursive exchange economies with short sales. Agents maximize discounted expected utility. The asset structure is general and includes real securities, infinite-lived stocks, options, and other derivatives. The main result shows the existence of a competitive equilibrium process that is stationary and has an invariant ergodic measure. Ergodicity is required in finance for time series analysis of structural asset pricing models. This equilibrium property is difficult to obtain when heterogeneous agents can accumulate debt over time. Bounded marginal utility is shown to be a key condition for ergodicity in this setting.