  In this article we consider an optimization problem of expected utility
maximization of continuous-time trading in a financial market. This trading is
constrained by a benchmark for a utility-based shortfall risk measure. The
market consists of one asset whose price process is modeled by a Geometric
Brownian motion where the market parameters change at a random time. The
information flow is modeled by initially and progressively enlarged filtrations
which represent the knowledge about the price process, the Brownian motion and
the random time. We solve the maximization problem and give the optimal
terminal wealth depending on these different filtrations for general utility
functions by using martingale representation results for the corresponding
filtration. Moreover, for a special utility function and risk measure we
calculate the utility indifference value which measures the gain of further
information for the investor.
