  We analyze the consumption-portfolio selection problem of an investor facing
both Brownian and jump risks. We bring new tools, in the form of orthogonal
decompositions, to bear on the problem in order to determine the optimal
portfolio in closed form. We show that the optimal policy is for the investor
to focus on controlling his exposure to the jump risk, while exploiting
differences in the Brownian risk of the asset returns that lies in the
orthogonal space.

Probability