Question
You have two assets. We will call them asset $1$ and asset $2$. Asset $1$ has an expected return of $4\%$ and a variance of $15\%$. Asset $2$ has an expected return of $2\%$ and a variance of $4\%$. They have a correlation $\rho = -1$. $$ $$ We want to create a risk-free portfolio using assets $1$ and $2$. We will denote $w_1$ and $w_2$ as the weights of asset $1$ and $2$ in the portfolio respectively. What is the expected return of this portfolio? Round the answer to three significant figures.