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The idea of using stochastic control methods for theoretical studies of portfolio management has long been standard, with maximum expected utility criteria commonly being used. But in recent years a new kind of criterion, the risk sensitive criterion, has emerged from the control theory literature and been applied to portfolio management. This paper studies various economic properties of this criterion for portfolio management, thereby providing justification for its theoretical and practical use. In particular, it is shown that the risk sensitive criterion amounts to maximizing a portfolio's risk adjusted growth rate. In other words, it is essentially the same as what is commonly done in practice: find the best trade‐off between a portfolio's average return and its average volatility.

A specific decision support system, DSS manager, based on a computerized simulation business game was developed to teach executives how to make decisions following the new rules of market driven Polish economics. Describes the concept of using this “tailor‐made” DSS to help both senior and middle level managers in Polish transition economics. This DSS is also unique because it joins features of decision support systems with some features of expert systems (ES) and executive support systems (ESS). Its creation required the collaboration of scientists and senior level managers from Polish firms. Such an approach can be considered a predominate approach in the process of preparing DSSs for executives who must manage in difficult economic situations.