Expected return of the zero-variance two-asset mix

Asset 1 has expected return $4\%$ and variance $0.15$, asset 2 has expected return $2\%$ and variance $0.04$, and their correlation is $-1$. Combine them with weights summing to one so the portfolio is riskless. What is its expected return, to three significant figures?

About $2.68\%$. The riskless weights are $w_1=\frac{\sigma_2}{\sigma_1+\sigma_2}\approx0.341$ and $w_2\approx0.659$, so the return is $\frac{0.04\cdot0.2+0.02\sqrt{0.15}}{\sqrt{0.15}+0.2}\approx0.0268$.