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CronoDAS comments on How much to spend on a high-variance option? - Less Wrong Discussion
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The Kelly Criterion describes how to invest if you have utility that goes up logarithmically with the amount of dollars you make. It's not a foolproof decision theory.
I was under the impression that for infinite repeated play, no matter what your actual utility function is (as long as it is increasing and the total number of dollars is bounded), it turns out that the optimal single-turn strategy "looks like" betting with a logarithmic utility function --- hence the Kelly Criterion.
I don't know much about this though so could be mistaken.