Consider two assets with means and standard deviations of returns given by arbitrary 1 and 1 > 0 for asset 1, and 2 and 2 > 0 for asset 2. Suppose that correlation of returns is different from 1, that is 12 > 1. Show that there is no portfolio of these two assets that has risk-free return. Consider only portfolios with positive weights, i.e., without short sales.