In Casino, the games of chance are also games of -EV. Now imagine that you could play a simple dice with the following payout table, but the play is limited to one round:
4-6: pay back 10:1
2-3: no effect
1: lose your bet.
How much would you bet?
How often can I play?Everything!
You would? Quote the gambler (although it's EV optimal of course). I would go with 50% which is already far above what the average person would wager.
I don't remember the Kelly formula exactly for this complex case, but it will suggest minimum 50% and max 83% anyway. That should be prudent for long term investor with the intent on maximizing his bankroll but not going broke.
Because earning capacity can be added to the bankroll in real life, and running into debt is possible, the optimal strategy could actually be 100% or more for those whose initial capital is small. If I was 20 and healthy (neither of which is true), and that was an actual question presented to me, I would probably have taken up to 5,000 debt to leverage my investment, since that is easy to pay back if you are 20 and healthy.
Later I learned to not take debt.