. You are interested in an International Portfolio made up of US and Canadian securities. The return on US is 15% and the return on Canada is 20%. The standard deviation of returns for US is 30% while that of Canada is 20%. If the correlation between US and Canada is -1, obtain the relevant weights for US and Canada to construct an international portfolio with zero risk. Compute the expected return on such a portfolio.

Ans: w1 = 2/5; w2 = 3/5 and Rip = 18%