Large financial markets : asymptotic arbitrage and contiguity

We introduce a large financial market as a sequence of ordinary security market models (in continuous or discrete time). An important property of such markets is the absence of asymptotic arbitrage, i.e., a possibility to obtain “essential” nonrisk profits from “infinitesimally” small endowments. It is shown that this property is closely related to the contiguity of the equivalent martingale measures. To check the "no asymptotic arbitrage" property one can use the criteria of contiguity based on the Hellinger processes. We give an example of a large market with correlated asset prices where the absence of asymptotic arbitrage forces the returns from the assets to approach the security market line of the CAPM.