In the paper we study a mathematical problem of optimally managing
a portfolio of assets which are dependent on microeconomic and
macroeconomic factors and where the investor's aim is to maximize
the portfolio's risk sensitized growth rate.\hfill\break
We consider an infinite horizon control
problem of maximizing the portfolio's risk sensitized growth rate
criterion. Using the so-called span semi-norm approach and
imposing some technical assumptions we provide a complete solution
to the above control problem.