The Leverage Kelly Recommends

A systematic strategy earns an expected excess return of $6\%$ per year with an annualized volatility of $20\%$, and you can lever it freely at no extra cost. Under the continuous-time Kelly criterion $f^* = \frac{\mu}{\sigma^2}$, what leverage maximizes the long-run growth rate of your capital — and how much would you actually run in practice?