pyrex41's comments

And, given need to allow for errors in estimation and eventual deterioration of many alpha-generating strategies, adjusting investment fraction downward (a sort Bayesian prior, I suppose) is sensible on its own, sans vol sensitivity considerations.

This is also an argument for finding investments that allow you to better define the downside risk of investments. I think that this is why static investments or hedges have such value; they may not change the expected value, they might even reduce it (based on mean estimates), but they reduce / eliminate the estimation error in your downside risk, allowing you a much more certain calculation of leverage.

Most of the examples of Kelly criterion application are either concrete bets with discrete payoff/loss odds and values, or assumed to be normally distributed. This paper discusses how extremely skewed outcomes (eg, stock options) should affect the Kelly calculation: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2956161

The reasoning behind the Kelly Criterion was explored recently in a more broad context, showing that the logarithmic utility is not required: https://aip.scitation.org/doi/10.1063/1.4940236

Taleb has a good discussion here: https://medium.com/incerto/the-logic-of-risk-taking-107bf410...