This paper characterizes the stationary equilibrium of a continuous-time neoclassical production economy with capital accumulation in which agents can insure against idiosyncratic income risk by trading state-contingent assets, subject to limited commitment constraints that rule out short-selling. For an N-state Poisson labor productivity process we characterize the household consumption-asset allocation, stationary asset distribution and aggregate capital supply. When production is Cobb-Douglas, productivity takes two values, of which one is zero, and agents have log-utility, the equilibrium interest rate, capital stock and consumption distribution is given in closed form. We therefore provide a tractable alternative to the Aiyagari incomplete markets model.