Jhunjhunwala's two books

Suppose a trading book with Sharpe 0.6 and an investing book with Sharpe 0.5 have correlation 0.3. (a) Compute the optimal and equal-risk combination Sharpe ratios. (b) Explain, using Proposition 14.15, how the rule "if I buy a stock and it goes down I don't put it in my investment portfolio" (as reported) protects the combination's statistics. (c) Design three journal fields and one weekly review query that would detect a violation of that rule automatically.