Why C++ for Unreal 4?

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You really don’t understand the point. The point being not to which platform you can deploy your game but on which platform you can run your engine.
Let me shout it to you:
C# IS NOT PORTABLE!!! GET IT!!!
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Are you using some weird definition of “portable” that the rest of us is unaware of? I mean, usually it’s defined as “can be run on multiple platforms”, something that C# code can do due to the valiant efforts of Mono.