  In this article we extend earlier work on the jump-diffusion risk-sensitive
asset management problem [SIAM J. Fin. Math. (2011) 22-54] by allowing 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 partial
integro-differential equation (PIDE). By combining viscosity solutions with a
change of notation, a policy improvement argument and classical results on
parabolic PDEs we prove that the HJB PIDE admits a unique smooth solution. A
verification theorem concludes the resolution of this problem.
