  We consider an optimal control problem for a linear stochastic
integro-diffe\-rential equation with conic constraints on the phase variable
and the control of singular-regular type. Our setting includes
consumption-investment problems for models of financial markets in the presence
of proportional transaction costs where the price of the assets are given by a
geometric L\'evy process and the investor is allowed to take short positions.
We prove that the Bellman function of the problem is a viscosity solution of
the HJB equation. A uniqueness theorem for the solution of the latter is
established. Special attention is paid to the Dynamic Programming Principle.
