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In this article we consider an optimization problem of expected utilitymaximization of continuous-time trading in a financial market. This trading isconstrained by a benchmark for a utility-based shortfall risk measure. Themarket consists of one asset whose price process is modeled by a GeometricBrownian motion where the market parameters change at a random time. Theinformation flow is modeled by initially and progressively enlarged filtrationswhich represent the knowledge about the price process, the Brownian motion andthe random time. We solve the maximization problem and give the optimalterminal wealth depending on these different filtrations for general utilityfunctions by using martingale representation results for the correspondingfiltration. Moreover, for a special utility function and risk measure wecalculate the utility indifference value which measures the gain of furtherinformation for the investor.

Utility Maximization and Indifference Value under Risk and Information Constraints for a Market with a Change Point