> why do I want that?
The reason why you want to do that is because, given unbounded amount of betting, the bankroll of someone following the Kelly strategy will, with probability 1, eventually permanently exceed that of any other strategy.
The reason why you want to do that is because, given unbounded amount of betting, the bankroll of someone following the Kelly strategy will, with probability 1, eventually permanently exceed that of any other strategy.
As far as it relates to my comment and comment: I think you're advancing a third answer to the "why" question, not showing why "maximizing expected geometric growth" is a better "why" than "maximizing (logarithmic) utility".
With that said, I still think the "maximizing (logarithmic) utility" answer is the only good motivation. My reasoning is that most people (myself included) define rationality to be: maximizing expected utility. From this, we can derive the Kelly criterion.
As for me, I often waffle between thinking this Kelly property I stated is important versus expected utility of some sort.