This paper is concerned with a problem on optimization 
in stock price model that allows for jumps in the  stochastic processes.   
We show that the problem is formulated into the optimal stochastic control 
problem under the criterion of mean square tracking error at the end 
of the planning horizon.  The optimal control and the optimal proportion 
invested in the index fund which are specified by the product of the market 
value of risk and the discounted terminal value of bench mark portfolio are 
derived by the solution to ordinary differential equations associated 
with an adjoint equation.