No—you should bet so as to maximize E[U]. If U(W)=logW, and you are wagering W, then bet Kelly, which optimizes E[logW]=E[U]. However, if for some reason you are directly wagering U (which seems very unlikely), then the optimal bet is actually YOLO, not Kelly.
No—you should bet so as to maximize E[U]. If U(W)=logW, and you are wagering W, then bet Kelly, which optimizes E[logW]=E[U]. However, if for some reason you are directly wagering U (which seems very unlikely), then the optimal bet is actually YOLO, not Kelly.