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Sharpe ratio of a strategy

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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

Reference no: EM131750992

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