I can offer up a simple example which clearly demonstrates why full Kelly is not optimal for an other than even-money bet:
Suppose someone were stupid enough to offer you a proposition, where for a fee of whatever size you wish, he'll flip a coin - and if it comes up tails, you lose; but if it comes up heads, he'll pay you QUADRUPLE. Although you have a 100% advantage over him, if you were follow full Kelly and bet 100% of your BR, you would tap out exactly 50% of the time. With a certainty of virtually 100%, he would soon have ALL of your money; whereas someone who were to bet something like half - Kelly would soon have
all of the money in the entire world.
(This IS a 2-outcome bet; perhaps I'm misunderstanding what Mango's trying to sa y?
)