A financial investment I has average returns of 100 dollars

A financial investment I has average returns of 100 dollars and a standard deviation of 20 dollars. Investment II has a average returns of 100 dollars and standard deviation of 40 dollars. The correlation coefficient between both investments equals -1/2. If you split 1 dollar between both investments, how should you distribute the amount to minimize the variance of return?

Solution

distribute of the amount will be normal distribution