We consider an investor who is dynamically informed about the future evolution of one of the independent Brownian motions driving a stock's price fluctuations. The resulting rough semimartingale dynamics allow for strong arbitrage, but with linear temporary price impact the resulting optimal investment problem with exponential utility turns out to be well posed. The dynamically revealed Brownian path segment makes the problem infinite-dimensional, but by considering its convex-analytic dual problem, we show that it still can be solved explicitly and we give some financial-economic insights into the optimal investment strategy and the properties of maximum expected utility. (This is joint work with Yan Dolinsky, Hebrew University of Jerusalem).
