If perceived utility is negatively correlated (at the top end) with actual utility, as in your example, then your strategy is superior to putting it all in the perceived-best. However, if you expect this to be the case, then you should update your beliefs on perceived utility. If the figures might be bad, account for that in the figures!
If there is even a small correlation, putting it all in one is optimal.
If perceived utility is negatively correlated (at the top end) with actual utility, as in your example, then your strategy is superior to putting it all in the perceived-best. However, if you expect this to be the case, then you should update your beliefs on perceived utility. If the figures might be bad, account for that in the figures!
If there is even a small correlation, putting it all in one is optimal.