Abstract: Utility-based differential game for portfolio with Cox-Ingersoll-Ross (CIR) stochastic interest rate in continuous time between two investors is developed. The market interest rate has the dynamics of CIR interest rate. The prices of risky stocks are affected by CIR interest rate. There is a single payoff function which depends on both investors' wealth processes. One player chooses a dynamic portfolio strategy in order to maximize this expected payoff, while his opponent is simultaneously choosing a dynamic portfolio strategy so as to minimize the same quantity. The optimal strategies for the utility-based game are obtained by the stochastic control theory. Especially for the constant relative risk aversion utility game with fixed duration, the explicit optimal strategies and value of the game are derived. The numerical example and simulation are provided to illustrate the results obtained in this paper.