  In the context of a general semimartingale model of a complete market, we aim
at answering the following question: How much is an investor willing to pay for
learning some inside information that allows to achieve arbitrage? If such a
value exists, we call it the value of informational arbitrage. In particular,
we are interested in the case where the inside information yields arbitrage
opportunities but not unbounded profits with bounded risk. In the spirit of
Amendinger et al. (2003, Finance Stoch.), we provide a general answer to the
above question by relying on an indifference valuation approach. To this
effect, we establish some new results on models with inside information and
study optimal investment-consumption problems in the presence of initial
information and arbitrage, also allowing for the possibility of leveraged
positions. We characterize when the value of informational arbitrage is
universal, in the sense that it does not depend on the preference structure.
Our results are illustrated with several explicit examples.
