notices - See details
Notices
JL
Jerry Lowell (not verified)
21st August 2022 | 9:37pm

According to correct criterion, which is

k = w/a - (1-w)/b

So, for your example,

k = 0.6/0.2 - 0.4/0.2 = 1 = 100%

This tells that all-in investing strategy (100%) gives the optimal (expected) return. The 0.2 is not the correct optimal fraction. Your simulation verified this point.