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You would like to construct a portfolio composed of the following two uncorrelated securities: Stock E[r] s.d. ABC 10% 30% DEF 20% 40% The risk-free

You would like to construct a portfolio composed of the following two uncorrelated securities:

Stock E[r] s.d.

ABC 10% 30%

DEF 20% 40%

The risk-free rate is 5%. If you form a portfolio P equally-weighted in ABC and DEF, what is the appropriate Sharpe ratio of P?

p.s.

I got the answer 2. But the correct answer is 0.4.

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