Why not 2cov in this question? Okay, So this is the whole question. It's a bit far. But i just have one question about it: 









So in question c) we have the equation for the sharpe ratio as: 
$$\frac{E(w_1R_{1A} + w_2R_{2A})}{\sigma_c}$$

Where

$$\sigma_C = w_1^2 var(\beta_1 R_{1t}) + w_2^2 var(\beta_2 R_{2t}) + 2w_1 w_2 Cov(R_1R_2)$$

We have the $2cov$ here, but in e) question. The right answer is that they not have the $2cov$ here. Otherwise it is the same equation. 

Why?

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Because as your covariance-variance matrix shows the covariance is 0 between them. 

The question e asks you to use the “true” covariance matrix from d presumably.

It’s not that you exclude it, that’s sort of misinterpretation, it is just zero ($cov(R_1,R_2)=0 \implies 2w_1 w_2 Cov(R_1R_2) =0$) and per convention zero is usually dropped from equations.