Economics Research Institute Study Paper
Utah State University Department of Economics
We develop a theory of valuation of payoff streams in infinite-horizon sequential markets and discuss implications of this theory for equilibrium under various portfolio constraints. We study the nature of asset price bubbles in light of this theory. We show that there cannot be equilibrium price bubbles on asset in positive net supply under a transversality restriction. Our analysis extends the work by Huang and Werner  to stochastic settings with complete or incomplete markets.
Huang, Kevin X.D., "Valuation and Asset Pricing in Infinite-Horizon Sequential Markets With Portfolio Constraints" (2000). Economic Research Institute Study Papers. Paper 185.