An exponential function of cost is adopted as a risk-sensitive criteri
on, and reasons given that this choice should be a natural one. It is
shown that the analysis leads to risk-sensitive versions of the certai
nty-equivalence principle (separation principle) and of the maximum pr
inciple, and that these have a validity even outside the usual linear/
quadratic/Gaussian framework. The methods are applied to some simple e
xamples of economic interest.