Before revision: In this article we extend earlier work on the jump-diffusion risk-sensitive asset management problem by allowing for jumps in both the factor process and the asset prices as well as stochastic volatility and investment constraints. In this case, the HJB equation is a PIDE.
After revision: In this article we extend earlier work on the jump-diffusion risk-sensitive optimization (equivalent to maximizing the expected growth rate subject to a constraint on variance.) By using a PIDE.