Yeah. To head off a possible objection, Kelly betting doesn’t necessarily maximize expected utility even over a long sequence of bets, even though Kelly investors become richest with certainty (see page 2 of this paper).
Your second example could be slightly tweaked to fit better with the rest of the post, because it doesn’t really contrast Kelly against expected utility maximization. In the Kelly setup that can be inferred from those payoffs, the Kelly bet is 10 cents rather than zero, while a linear utility function would tell you to bet all your money and lose it with probability 0.999. So maximizing expected money isn’t a good recommendation for regular folks either, and it might be a better idea to keep closer to Kelly :-)
Yeah. To head off a possible objection, Kelly betting doesn’t necessarily maximize expected utility even over a long sequence of bets, even though Kelly investors become richest with certainty (see page 2 of this paper).
Your second example could be slightly tweaked to fit better with the rest of the post, because it doesn’t really contrast Kelly against expected utility maximization. In the Kelly setup that can be inferred from those payoffs, the Kelly bet is 10 cents rather than zero, while a linear utility function would tell you to bet all your money and lose it with probability 0.999. So maximizing expected money isn’t a good recommendation for regular folks either, and it might be a better idea to keep closer to Kelly :-)