Can I get an example? Say, X is a random positive real number. For which distribution which parameters that maximize E(X) will not maximize E(log(X))?
That is exactly what the Kelly criterion provides examples of. Let p be the probability of winning some binary bet and k the multiple of your bet that is returned to you if you win. Given an initial bankroll of 1, let theta be the proportion of it you are going to bet. Let the distribution of your bankroll after the bet be X. With probability p, X is 1+theta(k-1), and with probability 1-p, X is 1-theta. theta is a parameter of this distribution. (So are p and k, but we are interested in maximising over theta for given p and k.)
If pk > 1 then theta = 1 maximises E(X), but theta = (pk-1)/(k-1) maximises E(log(X)).
The graphs of E(X) and E(log(X)) as functions of theta look nothing like each other. The first is a linear ascending gradient, and the second rises to a maximum and then plunges to -∞.
Yep, I was wrong. Now I need to figure out why I thought I was right..
A lottery ticket sometimes has positive expected value, (a $1 ticket might be expected to pay out $1.30). How many tickets should you buy?
Probably none. Informally, all but the richest players can expect to go broke before they win, despite the positive expected value of a ticket.
In more precise terms: In order to maximize the long-term growth rate of your money (or log money), you'll want to put a very small fraction of your bankroll into lotteries tickets, which will imply an "amount to invest" that is less than the cost of a single ticket, (excluding billionaires). If you put too great a proportion of your resources into a risky but positive expected value asset, the long-term growth rate of your resources can become negative. For an intuitive example, imagine Bill Gates dumping 99% percent of his wealth into a series of positive expected-value bets with single-lottery-ticket-like odds.
This article has some graphs and details on the lottery. This pdf on the Kelly criterion has some examples and general dicussion of this type of problem.
Can we think about Pascal mugging the same way?
The applicability might depend on whether we're trading resource-generating-resources for non-resource-generating assets. So if we're offered something like cash, the lottery ticket model (with payout inversely varying with estimated odds) is a decent fit. But what if we're offered utility in some direct and non-interest-bearing form?
Another limit: For a sufficiency unlikely but positive-expected-value gamble, you can expect the heat death of the universe before actually realizing any of the expected value.