In the context of a general semimartingale model, we aim at determining how much an investor is willing to pay to learn additional information that allows achieving arbitrage. If such a value exists, we call it the value of informational arbitrage. We are interested in the case where the information yields arbitrage opportunities but not unbounded profits with bounded risk. As in Amendinger et al. (Finance Stoch. 7:29–46, 2003), we rely on an indifference valuation approach and study optimal consumption–investment problems under initial information and arbitrage. We establish some new results on models with additional information and characterise when the value of informational arbitrage is universal.

中文翻译：

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信息套利的价值

在一般的半市场模型的背景下，我们旨在确定投资者愿意支付多少钱来学习能够实现套利的其他信息。如果存在这样的值，我们称其为信息套利的值。我们对信息产生套利机会而不是具有有限风险的无限利润的情况感兴趣。如在Amendinger等人中。（Finance Stoch。7：29-46，2003），我们依靠一种无差异的估值方法，并在初始信息和套利下研究最优的消费-投资问题。我们在带有附加信息的模型上建立了一些新结果，并描述了信息套利的价值何时具有普遍性。