If I have a strategy with a Sharpe ratio of 2, and you have a different, uncorrelated strategy with a Sharpe ratio of 3, what would be the Sharpe ratio of a strategy that invests 50% into your strategy and 50% into my strategy? (Which of the following do we know for sure?)
a) The Sharpe ratio will be less than 2
b) The Sharpe ratio will be more than 2 and less than 3, but that’s all we know
c) The Sharpe ratio will be more than 2, and possibly even more than 3
d) The Sharpe ratio will be right around 2.5
e) Impossible to answer with the information given
CIRCLE ONE: A B C D E